Contingent claims and market completeness in a stochastic volatility model
M Romano, N Touzi - Mathematical Finance, 1997 - Wiley Online Library
In an incomplete market framework, contingent claims are of particular interest since they
improve the market efficiency. This paper addresses the problem of market completeness …
improve the market efficiency. This paper addresses the problem of market completeness …
Perfect option hedging for a large trader
R Frey - Finance and Stochastics, 1998 - Springer
Standard derivative pricing theory is based on the assumption of agents acting as price
takers on the market for the underlying asset. We relax this hypothesis and study if and how …
takers on the market for the underlying asset. We relax this hypothesis and study if and how …
[HTML][HTML] Kolmogorov–Arnold Finance-Informed Neural Network in Option Pricing
CZ Liu, Y Zhang, L Qin, Y Liu - Applied Sciences, 2024 - mdpi.com
Finance-Informed Neural Networks (FINNs), inspired by Physical Information Neural
Networks (PINNs) and computational finance, aim to enhance risk assessment and support …
Networks (PINNs) and computational finance, aim to enhance risk assessment and support …
[PDF][PDF] Perfect Option Hedging for a Large Trader
R udiger Frey - 1996 - Citeseer
Ever since derivative asset analysis started with the pathbreaking papers of Black and
Scholes (1973) and Merton (1973), both academics and practioners were concerned about …
Scholes (1973) and Merton (1973), both academics and practioners were concerned about …
[PDF][PDF] The Pricing and Hedging of Options in Finitely Elastic Markets
R udiger Frey - 1996 - core.ac.uk
Ever since derivative asset analysis started with the pathbreaking papers of Black and
Scholes (1973) and Merton (1973), both academics and practioners were concerned about …
Scholes (1973) and Merton (1973), both academics and practioners were concerned about …