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Duality theory for exponential utility-based hedging in the Almgren–Chriss model
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- Journal:
- Journal of Applied Probability / Volume 61 / Issue 2 / June 2024
- Published online by Cambridge University Press:
- 03 August 2023, pp. 420-438
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- June 2024
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Risk minimization for game options in markets imposing minimal transaction costs
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- Journal:
- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
- Published online by Cambridge University Press:
- 19 September 2016, pp. 926-946
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- September 2016
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Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model
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- Journal:
- Journal of Applied Probability / Volume 47 / Issue 4 / December 2010
- Published online by Cambridge University Press:
- 14 July 2016, pp. 997-1012
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- December 2010
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