المؤلفون: Acciaio, Beatrice, Cox, Alexander M. G., Huesmann, Martin

المصدر: Acciaio , B , Cox , A M G & Huesmann , M 2021 , ' Model-independent pricing with insider information : A Skorokhod embedding approach ' , Advances in Applied Probability , vol. 53 , no. 1 , pp. 30-56 . https://doi.org/10.1017/apr.2020.50

مصطلحات موضوعية: Inside information, Skorokhod embedding problem, model-independent pricing and hedging, monotonicity principle, /dk/atira/pure/subjectarea/asjc/2600/2613, name=Statistics and Probability, /dk/atira/pure/subjectarea/asjc/2600/2604, name=Applied Mathematics

وصف الملف: application/pdf

Relation: https://researchportal.bath.ac.uk/en/publications/6f220265-bd39-4af3-8fec-028413dd28e2

الاتاحة: https://researchportal.bath.ac.uk/en/publications/6f220265-bd39-4af3-8fec-028413dd28e2
https://doi.org/10.1017/apr.2020.50
https://purehost.bath.ac.uk/ws/files/210369609/SEPinsider_revision_Jun2020.pdf
http://www.scopus.com/inward/record.url?scp=85102823140&partnerID=8YFLogxK

المؤلفون: Campi L., Laachir I., Martini C.

المساهمون: L. Campi, I. Laachir, C. Martini

مصطلحات موضوعية: Robust hedging, Model-independent pricing, Model uncertainty, Optimal transport, Change of numeraire, Forward start straddle, Settore MAT/06 - Probabilita' e Statistica Matematica

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000398726200005; volume:21; issue:2; firstpage:471; lastpage:486; numberofpages:16; journal:FINANCE AND STOCHASTICS; http://hdl.handle.net/2434/750945; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85007463601

الاتاحة: http://hdl.handle.net/2434/750945
https://doi.org/10.1007/s00780-016-0322-2

المؤلفون: Beiglböck, Mathias, Cox, Alexander M.G., Huesmann, Martin, Perkowski, Nicolas, Prömel, David J.

المصدر: Finance and Stochastics, 21 (4)

مصطلحات موضوعية: Model-Independent Pricing, Optimal Transport, Skorokhod Embedding, Super-Replication Theorem, Vovk’s Outer Measure

وصف الملف: application/application/pdf

Relation: info:eu-repo/semantics/altIdentifier/wos/000411865500008; info:eu-repo/grantAgreement/SNF/Projektförderung in Mathematik, Natur- und Ingenieurwissenschaften (Abteilung II)/163014; http://hdl.handle.net/20.500.11850/123818

الاتاحة: https://hdl.handle.net/20.500.11850/123818
https://doi.org/10.3929/ethz-b-000123818

المؤلفون: B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf.

مصطلحات موضوعية: Model-independent pricing, Fundamental Theorem of Asset Pricing, Super-Replication Theorem

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.434.4177; http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.434.4177
http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf

المؤلفون: Hobson, David G., Norgilas, Dominykas

مصطلحات موضوعية: Martingale optimal transport, optimal stopping, model-independent pricing, American put, 60G42, 60G40

وصف الملف: application/pdf

Relation: https://projecteuclid.org/euclid.aoap/1550566846; Ann. Appl. Probab. 29, no. 3 (2019), 1904-1928

الاتاحة: https://projecteuclid.org/euclid.aoap/1550566846
https://doi.org/10.1214/18-AAP1450

المؤلفون: Dominykas Norgilas, David Hobson

المصدر: Ann. Appl. Probab. 29, no. 3 (2019), 1904-1928

مصطلحات موضوعية: Statistics and Probability, Martingale optimal transport, Pure mathematics, Probability (math.PR), Upper and lower bounds, American put, optimal stopping, FOS: Mathematics, Optimal stopping, 60G42, 60G40, Statistics, Probability and Uncertainty, model-independent pricing, 60G42, Martingale (probability theory), Put option, 60G40, Mathematics - Probability, Probability measure, Mathematics

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::297ecb100967258c7cef90dd201fb612
http://wrap.warwick.ac.uk/114293/1/WRAP-left-curtain-martingale-coupling-presence-atoms-Hobson-2019.pdf

المؤلفون: Martin Huesmann, David J. Prömel, Alexander M. G. Cox, Mathias Beiglböck, Nicolas Perkowski

المصدر: Finance and Stochastics, 21 (4)

مصطلحات موضوعية: Statistics and Probability, 050208 finance, Model-Independent Pricing, Realized variance, Mathematical finance, Optimal Transport, 05 social sciences, Duality (mathematics), Super-Replication Theorem, 01 natural sciences, Connection (mathematics), Embedding problem, 010104 statistics & probability, Range (mathematics), 0502 economics and business, Vovk’s Outer Measure, Skorokhod Embedding, Outer measure, Asian option, 0101 mathematics, Statistics, Probability and Uncertainty, Mathematical economics, Finance, Mathematics

وصف الملف: application/application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3411031c41017567866b988acf7f129
http://ora.ox.ac.uk/objects/uuid:

المؤلفون: B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf.

مصطلحات موضوعية: Model-independent pricing, Fundamental Theorem of Asset Pricing, Super-Replication Theorem

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.310.5823; http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.310.5823
http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0157.pdf

المؤلفون: Yukihiro Tsuzuki

المصدر: International Journal of Theoretical and Applied Finance. 16(06):1350038-1

مصطلحات موضوعية: Mathematical optimization, Exotic option, Black–Scholes model, Trinomial tree, Quanto, Microeconomics, Derivative (finance), Economics, Portfolio, Asset (economics), Binomial options pricing model, General Economics, Econometrics and Finance, Finance, Super-hedging, sub-hedging, super-replication, sub-replication, Youngs inequality, model-independent, pricing bounds

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::170a8e0be461d1940ca6e4b08d9aab92
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024913500386