45 search results - page 3 / 9 » fs 2006 |
FS
2006
14 years 9 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
14 years 9 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
14 years 8 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
14 years 9 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
14 years 9 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...