INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS

Mathematical Finance ◽

10.1111/mafi.12137 ◽

2016 ◽

Vol 28 (1) ◽

pp. 335-371 ◽

Author(s):

Scott Robertson ◽

Konstantinos Spiliopoulos

Keyword(s):

Large Deviations ◽

Contingent Claims ◽

Indifference Pricing

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A chaos expansion approach for the pricing of contingent claims

The Journal of Computational Finance ◽

10.21314/jcf.2015.299 ◽

2015 ◽

Vol 18 (3) ◽

pp. 27-58 ◽

Author(s):

Hideharu Funahashi ◽

Masaaki Kijima

Keyword(s):

Contingent Claims ◽

Chaos Expansion

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Repeated Career Options: A Contingent Claims Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1003659 ◽

2007 ◽

Author(s):

Jonathan Treussard

Keyword(s):

Contingent Claims ◽

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The Pricing of Interest Rate Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.1482911 ◽

1998 ◽

Author(s):

Claus Anderskov Madsen

Keyword(s):

Interest Rate ◽

Contingent Claims

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Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3402645 ◽

2019 ◽

Author(s):

David M. Kreps ◽

W. Schachermayer

Keyword(s):

Discrete Time ◽

Contingent Claims

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Real Options, Ambiguity, and Dynamic Consistency - A Comment on 'ambiguity Aversion in Buyer-Seller Relationships: A Contingent-Claims and Social Network Explanation'

SSRN Electronic Journal ◽

10.2139/ssrn.3552142 ◽

2020 ◽

Author(s):

David Schroeder

Keyword(s):

Social Network ◽

Real Options ◽

Ambiguity Aversion ◽

Contingent Claims ◽

Dynamic Consistency

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Hedging Contingent Claims with Constrained Portfolios and Nonlinear Wealth Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.981016 ◽

2007 ◽

Author(s):

Dirk Ebmeyer

Keyword(s):

Contingent Claims

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Prices for State-Contingent Claims: Some Estimates and Applications

The Journal of Business ◽

10.1086/296026 ◽

1978 ◽

Vol 51 (4) ◽

pp. 653 ◽

Author(s):

Rolf W. Banz ◽

Merton H. Miller

Keyword(s):

Contingent Claims

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A characterization of hedging portfolios for interest rate contingent claims

The Annals of Applied Probability ◽

10.1214/105051604000000297 ◽

2004 ◽

Vol 14 (3) ◽

pp. 1267-1294 ◽

Author(s):

Rene Carmona ◽

Michael Tehranchi

Keyword(s):

Interest Rate ◽

Contingent Claims

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Large Deviations for Gibbs Measures with Singular Hamiltonians and Emergence of Kähler–Einstein Metrics

Communications in Mathematical Physics ◽

10.1007/s00220-017-2926-6 ◽

2017 ◽

Vol 354 (3) ◽

pp. 1133-1172 ◽

Author(s):

Robert J. Berman

Keyword(s):

Large Deviations ◽

Einstein Metrics ◽

Gibbs Measures ◽

Kähler Einstein Metrics

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Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model

Acta Mathematicae Applicatae Sinica English Series ◽

10.1007/s10255-021-1030-z ◽

2021 ◽

Vol 37 (3) ◽

pp. 539-547

Author(s):

Ke-ang Fu ◽

Xin-mei Shen ◽

Hui-jie Li

Keyword(s):

Large Deviations ◽

Two Dimensional ◽

Precise Large Deviations ◽

Renewal Risk Model ◽

Size Dependent ◽

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