Saved in:
| Main Authors: | Bouzianis, George, Hughston, Lane P., Sánchez-Betancourt, Leandro |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2201.08875 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Brief Synopsis of the Scientific Career of T. R. Hurd
by: Grasselli, Matheus R., et al.
Published: (2024)
by: Grasselli, Matheus R., et al.
Published: (2024)
From rank-based models with common noise to pathwise entropy solutions of SPDEs
by: Shkolnikov, Mykhaylo, et al.
Published: (2024)
by: Shkolnikov, Mykhaylo, et al.
Published: (2024)
Despite Absolute Information Advantages, All Investors Incur Welfare Loss
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
by: Tu, Yun-Feng, et al.
Published: (2025)
by: Tu, Yun-Feng, et al.
Published: (2025)
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)
by: He, Jian, et al.
Published: (2025)
A discretization scheme for path-dependent FBSDEs and PDEs
by: Jang, Jiuk, et al.
Published: (2023)
by: Jang, Jiuk, et al.
Published: (2023)
Constrained optimal stopping under a regime-switching model
by: Arai, Takuji, et al.
Published: (2022)
by: Arai, Takuji, et al.
Published: (2022)
A cross-border market model with limited transmission capacities
by: Milbradt, Cassandra, et al.
Published: (2022)
by: Milbradt, Cassandra, et al.
Published: (2022)
Option pricing in Sandwiched Volterra Volatility model
by: Di Nunno, Giulia, et al.
Published: (2022)
by: Di Nunno, Giulia, et al.
Published: (2022)
Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)
by: Choulli, T., et al.
Published: (2024)
Multidimensional specific relative entropy between continuous martingales
by: Backhoff, Julio, et al.
Published: (2024)
by: Backhoff, Julio, et al.
Published: (2024)
Forward Performance Processes under Multiple Default Risks
by: Chong, Wing Fung, et al.
Published: (2026)
by: Chong, Wing Fung, et al.
Published: (2026)
On the Skew Stickiness Ratio
by: Fukasawa, Masaaki
Published: (2026)
by: Fukasawa, Masaaki
Published: (2026)
Real-world models for multiple term structures: a unifying HJM semimartingale framework
by: Fontana, Claudio, et al.
Published: (2024)
by: Fontana, Claudio, et al.
Published: (2024)
Local signature-based expansions
by: Bandi, Federico M., et al.
Published: (2025)
by: Bandi, Federico M., et al.
Published: (2025)
Markovian projections for Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2024)
by: Larsson, Martin, et al.
Published: (2024)
Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
by: Golomoziy, Vitaliy, et al.
Published: (2025)
by: Golomoziy, Vitaliy, et al.
Published: (2025)
Pricing American Options Time-Capped by a Drawdown Event
by: Palmowski, Zbigniew, et al.
Published: (2025)
by: Palmowski, Zbigniew, et al.
Published: (2025)
On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
by: Alfonsi, Aurélien, et al.
Published: (2024)
by: Alfonsi, Aurélien, et al.
Published: (2024)
Change of numeraire for weak martingale transport
by: Beiglböck, Mathias, et al.
Published: (2024)
by: Beiglböck, Mathias, et al.
Published: (2024)
Martingale property and moment explosions in signature volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2025)
by: Jaber, Eduardo Abi, et al.
Published: (2025)
The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024)
by: Choulli, Tahir, et al.
Published: (2024)
Subleading correction to the Asian options volatility in the Black-Scholes model
by: Pirjol, Dan
Published: (2024)
by: Pirjol, Dan
Published: (2024)
Pricing American options time-capped by a drawdown event in a Lévy market
by: Palmowski, Zbigniew, et al.
Published: (2025)
by: Palmowski, Zbigniew, et al.
Published: (2025)
Regularity of Solutions of Mean-Field $G$-SDEs
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)
Markovian projections for functionals of Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2025)
by: Larsson, Martin, et al.
Published: (2025)
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)
by: Anagnostakis, Alexis, et al.
Published: (2025)
The Gradient Flow of the Bass Functional in Martingale Optimal Transport
by: Backhoff-Veraguas, Julio, et al.
Published: (2024)
by: Backhoff-Veraguas, Julio, et al.
Published: (2024)
Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
by: Alaya, Mohamed Ben, et al.
Published: (2024)
by: Alaya, Mohamed Ben, et al.
Published: (2024)
Inverting the Markovian projection for pure jump processes
by: Larsson, Martin, et al.
Published: (2024)
by: Larsson, Martin, et al.
Published: (2024)
Max- and min-stability under first-order stochastic dominance
by: Chambers, Christopher, et al.
Published: (2024)
by: Chambers, Christopher, et al.
Published: (2024)
Martingale expansion for stochastic volatility
by: Fukasawa, Masaaki
Published: (2026)
by: Fukasawa, Masaaki
Published: (2026)
No arbitrage and multiplicative special semimartingales
by: Platen, Eckhard, et al.
Published: (2020)
by: Platen, Eckhard, et al.
Published: (2020)
The critical disordered pinning measure
by: Wei, Ran, et al.
Published: (2024)
by: Wei, Ran, et al.
Published: (2024)
Exploiting arbitrage requires short selling
by: Platen, Eckhard, et al.
Published: (2020)
by: Platen, Eckhard, et al.
Published: (2020)
On the structure of increasing profits in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)
by: Anagnostakis, Alexis, et al.
Published: (2025)
Conditional Non-Lattice Integration, Pricing and Superhedging
by: Bender, Christian, et al.
Published: (2021)
by: Bender, Christian, et al.
Published: (2021)
Discrete approximation of risk-based prices under volatility uncertainty
by: Blessing, Jonas, et al.
Published: (2024)
by: Blessing, Jonas, et al.
Published: (2024)
On the Martingale Schrödinger Bridge between Two Distributions
by: Nutz, Marcel, et al.
Published: (2024)
by: Nutz, Marcel, et al.
Published: (2024)
Similar Items
-
Brief Synopsis of the Scientific Career of T. R. Hurd
by: Grasselli, Matheus R., et al.
Published: (2024) -
From rank-based models with common noise to pathwise entropy solutions of SPDEs
by: Shkolnikov, Mykhaylo, et al.
Published: (2024) -
Despite Absolute Information Advantages, All Investors Incur Welfare Loss
by: Liang, Zongxia, et al.
Published: (2024) -
Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
by: Tu, Yun-Feng, et al.
Published: (2025) -
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)