Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
dc.contributor.author
Neufeld, Ariel
dc.date.accessioned
2019-02-14T17:56:13Z
dc.date.available
2018-12-05T13:56:23Z
dc.date.available
2018-12-05T15:32:15Z
dc.date.available
2018-12-05T15:33:39Z
dc.date.available
2019-02-14T17:56:13Z
dc.date.issued
2018-12
dc.identifier.issn
1793-6322
dc.identifier.issn
0219-0249
dc.identifier.other
10.1142/S0219024918500516
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/308940
dc.language.iso
en
en_US
dc.publisher
World Scientific
en_US
dc.subject
Super-replication
en_US
dc.subject
Fully incomplete markets
en_US
dc.subject
robust pricing
en_US
dc.subject
stochastic volatility
en_US
dc.subject
rough volatility
en_US
dc.title
Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
en_US
dc.type
Journal Article
dc.date.published
2018-10-26
ethz.journal.title
International Journal of Theoretical and Applied Finance
ethz.journal.volume
21
en_US
ethz.journal.issue
8
en_US
ethz.journal.abbreviated
Int. j. theor. appl. financ.
ethz.pages.start
1850051
en_US
ethz.size
12 p.
en_US
ethz.grant
Asymptotics and Model Uncertainty in Optimal Control
en_US
ethz.identifier.scopus
ethz.publication.place
River Edge, NJ
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09557 - Cheridito, Patrick / Cheridito, Patrick
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09557 - Cheridito, Patrick / Cheridito, Patrick
en_US
ethz.grant.agreementno
172815
ethz.grant.fundername
SNF
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
Projekte MINT
ethz.relation.isNewVersionOf
10.3929/ethz-b-000219155
ethz.date.deposited
2018-12-05T13:56:34Z
ethz.source
FORM
ethz.eth
yes
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ethz.availability
Metadata only
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ethz.rosetta.installDate
2019-02-14T17:56:42Z
ethz.rosetta.lastUpdated
2022-03-28T22:17:27Z
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