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SpringerLink电子期刊(47)
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Elsevier电子期刊(62)
在“
SpringerLink电子期刊
”中,
命中:
47
条,耗时:小于0.01 秒
在所有数据库中总计命中:
135
条
1.
Model uncertainty and the pricing of American options
作者:
David Hobson
;
Anthony Neuberger
关键词:
American option
;
Model
;
free pricing
;
Robust
hedging
;
Model risk
;
Rational bounds
刊名:Finance and Stochastics
出版年:2017
2.
Robust
pricing and
hedging
under trading restrictions and the emergence of local martingale models
作者:
Alexander M. G. Cox
;
Zhaoxu Hou
;
Jan Obłój
刊名:Finance and Stochastics
出版年:2016
3.
Robust
ness of Quadratic
Hedging
Strategies in Finance via Backward Stochastic Differential Equations with Jumps
作者:
Giulia Di Nunno
;
Asma Khedher
;
Michèle Vanmaele
关键词:
Quadratic
hedging
strategies
;
Backward stochastic differential equations
;
Jump
;
diffusions
;
Robust
ness
刊名:Applied Mathematics and Optimization
出版年:2015
4.
Martingale optimal transport and
robust
hedging
in continuous time
作者:
Yan Dolinsky
;
H. Mete Soner
关键词:
European options
;
Robust
hedging
;
Min–max theorems
;
Prokhorov metric
;
Optimal transport
;
91G10
;
60G44
刊名:Probability Theory and Related Fields
出版年:2014
5.
Robust
hedging
with proportional transaction costs
作者:
Yan Dolinsky (1)
H. Mete Soner (2)
关键词:
European options
;
Robust
hedging
;
Transaction costs
;
Weak convergence
;
Consistent price systems
;
Optimal transport
;
Fundamental theorem of asset pricing
;
Superreplication
;
91G10
;
60G42
;
G11
;
G13
;
D52
刊名:Finance and Stochastics
出版年:2014
6.
Trade-off Between
Robust
Risk Measurement and Market Principles
作者:
Hirbod Assa
关键词:
Risk measures
;
Pricing rules
;
Good deals
;
Robust
ness
;
Representative agent
hedging
problem
;
Minimal modification
;
91B16
;
91B50
;
91B70
刊名:Journal of Optimization Theory and Applications
出版年:2015
7.
Robust
price bounds for the forward starting straddle
作者:
David Hobson (1)
Martin Klimmek (2)
关键词:
Martingale coupling
;
Martingale optimal transport
;
Model
;
independent bounds
;
Static
hedging
;
forward starting straddle
;
91G20
;
60G42
;
G11
;
G13
刊名:Finance and Stochastics
出版年:2015
8.
A scalable solution framework for stochastic transmission and generation planning problems
作者:
Francisco D. Munoz
;
Jean-Paul Watson
关键词:
Transmission planning
;
Generation planning
;
Stochastic mixed
;
integer programming
;
Progressive
Hedging
刊名:Computational Management Science
出版年:2015
9.
Characterization of the Value Process in
Robust
Efficient
Hedging
作者:
Daniel Hernández-Hernández (1)
Erick Trevi?o-Aguilar (2)
关键词:
BSDE’s
;
Partial
hedging
;
Model ambiguity
刊名:Journal of Optimization Theory and Applications
出版年:2014
10.
Hedging
China鈥檚 energy oil market risks
作者:
Marco Chi Keung Lau
;
Yongyang Su
;
Na Tan
;
Zhe Zhang
关键词:
China energy oil market
;
Hedging
risk performance
;
Bivariate GARCH model
;
Shanghai fuel oil futures contract (SHF)
;
Tokyo oil futures contract (TKF)
;
C32
;
G32
;
Q47
刊名:Eurasian Economic Review
出版年:2014
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