Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Kentia, Klebert"'
Autor:
Kentia, Klebert, Kühn, Christoph
Publikováno v:
SIAM Journal on Control and Optimization, 2018, 56(6), 3948-3972
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze GCCs like
Externí odkaz:
http://arxiv.org/abs/1707.09351
Autor:
Becherer, Dirk, Kentia, Klebert
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for
Externí odkaz:
http://arxiv.org/abs/1704.02505
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a non-determini
Externí odkaz:
http://arxiv.org/abs/1607.06644
Autor:
Becherer, Dirk, Kentia, Klebert
Publikováno v:
Math Meth Oper Res (2017), 86/1, 171-214
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even eliminati
Externí odkaz:
http://arxiv.org/abs/1607.04488
Autor:
Becherer, Dirk1 becherer@mathematik.hu-berlin.de, Kentia, Klebert2 kentia@aims.ac.za
Publikováno v:
Mathematical Methods of Operations Research. Aug2017, Vol. 86 Issue 1, p171-214. 44p. 1 Chart, 2 Graphs.
Autor:
KENTIA, KLEBERT1 kentia@math.uni-frankfurt.de, KÜHN, CHRISTOPH1 ckuehn@math.uni-frankfurt.de
Publikováno v:
SIAM Journal on Control & Optimization. 2018, Vol. 56 Issue 6, p3948-3972. 25p.