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FS
2006
13 years 10 months ago
2006
: It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication p...
FS
2006
13 years 10 months ago
2006
Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
FS
2010
13 years 9 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
FS
2006
13 years 10 months ago
2006
Abstract The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a lower bound on the co...
FS
2006
13 years 10 months ago
2006
We prove existence of stochastic financial equilibria on filtered spaces more general than the ones generated by finite-dimensional Brownian motions. These equilibria span complete...