Add to ORKGThe formulas defining option cost and also evolution in time of portfolio and capital for the European option of purchase in case of hedging with set probability (fractile hedging) at continuous time and diffusion model of the (B, S)-financial market have obtained. Some properties of solution are investigated
University of Technology Sydney. Faculty of Business.This thesis is practically oriented towards the...
Option pricing is an integral part of modern financial risk management. The well-known Black and Sch...
In the classical continuous-time financial market model, stock prices have been understood as soluti...
International audienceWe consider a continuous-time model of financial market with proportional tran...
The decision of optimum hedging problem for the European options of purchase and sale of the exotic ...
In this paper we study a hedging problem for European options taking into account the presence of tr...
In this thesis we cover some fundamental topics in mathematical finance and construct market models f...
This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration...
The purpose of this thesis is to study the option pricing and hedging in an illiquid market. In orde...
Co-directeur: Marc Chesney, HEC Membres du Jury: Monique Jeanblanc-Picqué, Evry, Rapporteur François...
Stohastički procesi imaju široku primjenu u raznim područjima računarske znanosti, a u sklopu ovog r...
The main objective of this thesis is the study of the model risk and its quantification through mone...
International audienceAn elementary arbitrage principle and the existence of trends in financial tim...
In this note, we consider a general discrete time financial market with proportional transaction cos...
Different derivative securities, including European options, are very popular and widely used in fo...
University of Technology Sydney. Faculty of Business.This thesis is practically oriented towards the...
Option pricing is an integral part of modern financial risk management. The well-known Black and Sch...
In the classical continuous-time financial market model, stock prices have been understood as soluti...
International audienceWe consider a continuous-time model of financial market with proportional tran...
The decision of optimum hedging problem for the European options of purchase and sale of the exotic ...
In this paper we study a hedging problem for European options taking into account the presence of tr...
In this thesis we cover some fundamental topics in mathematical finance and construct market models f...
This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration...
The purpose of this thesis is to study the option pricing and hedging in an illiquid market. In orde...
Co-directeur: Marc Chesney, HEC Membres du Jury: Monique Jeanblanc-Picqué, Evry, Rapporteur François...
Stohastički procesi imaju široku primjenu u raznim područjima računarske znanosti, a u sklopu ovog r...
The main objective of this thesis is the study of the model risk and its quantification through mone...
International audienceAn elementary arbitrage principle and the existence of trends in financial tim...
In this note, we consider a general discrete time financial market with proportional transaction cos...
Different derivative securities, including European options, are very popular and widely used in fo...
University of Technology Sydney. Faculty of Business.This thesis is practically oriented towards the...
Option pricing is an integral part of modern financial risk management. The well-known Black and Sch...
In the classical continuous-time financial market model, stock prices have been understood as soluti...