Author:
Vasilev Ilia,Melnikov Alexander
Publisher
Springer International Publishing
Reference8 articles.
1. Cong, J., Tan, K.S., Weng, C.: Conditional value-at-risk-based optimal partial hedging. J. Risk 16(3), 49–83 (2014)
2. Melnikov, A., Vasilev, I.: On market completions approach to option pricing. Rev. Bus. Econ. Stud. 9(3), 77–93 (2021)
3. Melnikov, A.V., Feoktistov, K.M.: Non-arbitrage and completeness of discrete markets and contingent claims pricing. Obozreniye Prikladnoy i Promyshlennoy Matematiki 8(1), 28–40 (2001)
4. Karatzas, I., Lehoczky, J.P., Shreve, S.E., Xu, G.: Martingale and duality methods for utility maximization in a incomplete market. SIAM J. Control Optim. 29(3), 702–730 (1991). https://doi.org/10.1137/0329039
5. Davis, M.: Option pricing in incomplete markets. Math. Deriv. Secur. 15, 216–226 (1997)