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of 4
pro vyhledávání: '"Temam, Emmanuel"'
Autor:
Bouchard, Bruno, Temam, Emmanuel
In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation for the set
Externí odkaz:
http://arxiv.org/abs/math/0502189
Autor:
Gobet, Emmanuel, Temam, Emmanuel
Publikováno v:
Finance & Stochastics. 2001, Vol. 5 Issue 3, p357. 11p.
Autor:
Carassus, Laurence, Temam, Emmanuel
We consider the problem of pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8ee9950151ba1a603b184287a247a9fe
https://hal.archives-ouvertes.fr/hal-00498479v3/document
https://hal.archives-ouvertes.fr/hal-00498479v3/document
Autor:
Bally, Vlad, Temam, Emmanuel
Publikováno v:
[Research Report] RR-4873, INRIA. 2003
We give a model free calibration algorithm based on a finite element type approach. Although no probabilistic model is a priori needed it turns out that the setting of our problem automatically produces a Markov dynamics for the underlying stock. Mar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a67f89cf028868dade3a8ab11585a5fe
https://inria.hal.science/inria-00071710/document
https://inria.hal.science/inria-00071710/document