Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference25 articles.
1. Bank, P., Dolinsky, Y.: A note on utility indifference pricing with delayed information. SIAM J. Financ. Math. 12, SC31–SC43 (2021)
2. Barles, G., Soner, H.M.: Option pricing with transaction costs and a nonlinear Black–Scholes equation. Finance Stoch. 2, 369–397 (1998)
3. Bertsimas, D., Kogan, L., Lo, A.W.: When is time continuous? J. Financ. Econ. 55, 173–204 (2000)
4. Cai, J., Fukasawa, M., Rosenbaum, M., Tankov, P.: Optimal discretization of hedging strategies with directional views. SIAM J. Financ. Math. 7, 34–69 (2016)
5. Carmona, R.: Indifference Pricing: Theory and Applications. Princeton University Press, Princeton (2012)
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. The most exciting game;Electronic Communications in Probability;2024-01-01
2. Optimal Dividends Under Model Uncertainty;SIAM Journal on Financial Mathematics;2023-05-17