American options in incomplete markets

American options in incomplete markets

In dieser Dissertation werden Amerikanischen Optionen in einem unvollst¨andigen Markt und in stetiger Zeit untersucht. Die Dissertation besteht aus zwei Teilen. Im ersten Teil untersuchen wir ein stochastisches Optimierungsproblem, in dem ein konvexes robustes Verlustfunktional ueber einer Men...

Full description

Bibliographic Details
Main Author:	Aguilar, Erick Trevino
Other Authors:	Föllmer, Hans
Format:	Doctoral Thesis
Language:	English
Published:	Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II 2008
Subjects:	Amerikanische Optionen optimale Ausuebung robuste Optimierung Ausfallsrisiko American options Optimal exercise Robust optimization Shortfall risk 510 Mathematik 27 Mathematik ddc:510
Online Access:	http://edoc.hu-berlin.de/18452/16472 http://nbn-resolving.de/urn:nbn:de:kobv:11-10092527 http://dx.doi.org/10.18452/15820

Similar Items

Numerical treatment of the Black-Scholes variational inequality in computational finance
by: Mautner, Karin
Published: (2007)

Functional analytic approaches to some stochastic optimization problems
by: Backhoff, Julio Daniel
Published: (2015)

Holomorphic Vector Bundles on Ruled Surfaces and Their Blowing Ups
by: Matuschke, Andreas
Published: (1998)

Über einparametrische Optimierungsprobleme (spezielle Einbettungen) und einparametrische Variationsgleichungen
by: Gómez-Bofill, Walter
Published: (1999)

Efficient hedging in incomplete markets under model uncertainty
by: Kirch, Michael
Published: (2002)

Optimal control of a semi-discrete Cahn–Hilliard–Navier–Stokes system with variable fluid densities
by: Keil, Tobias
Published: (2021)

Optimal liquidation problems and HJB equations with singular terminal condition
by: Graewe, Paulwin
Published: (2017)

Demonstratio nova theorematis omnem functionem algebraicam rationalem integram unius variabilis in factores reales primi vel secundi gradus resolvi posse
by: Gauß, Carl Friedrich
Published: (1799)

On Minmax Robustness for Multiobjective Optimization with Decision or Parameter Uncertainty
by: Krüger, Corinna
Published: (2018)

Higher gap morasses
by: Cárdenas, Franqui
Published: (2005)

Optimal liquidation in dark pools in discrete and continuous time
by: Kratz, Peter
Published: (2011)

Solution Methods for Multi-Objective Robust Combinatorial Optimization
by: Thom, Lisa
Published: (2018)

Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
by: Ladkau, Marcel
Published: (2016)

Ein einparametrischer Zugang zur Lösung von Vektoroptimierungsproblemen in halbgeordneten endlichdimensionalen Räumen
by: Mbunga, Paulo
Published: (2007)

Zur Lösung optimaler Steuerungsprobleme
by: Nzali, Appolinaire
Published: (2002)

Decentralized Algorithms for Wasserstein Barycenters
by: Dvinskikh, Darina
Published: (2021)

Robust utility maximization, f-projections, and risk constraints
by: Gundel, Anne
Published: (2006)

Einbeziehung von Elementen der 3D-Computergrafik in den Mathematikunterricht der Sekundarstufe II im Stoffgebiet analytische Geometrie
by: Filler, Andreas
Published: (2007)

Theoretical and numerical investigation of optimal control problems governed by kinetic models
by: Bartsch, Jan
Published: (2021)

Efficiency improving implementation techniques for large scale matrix equation solvers
by: Köhler, Martin, et al.
Published: (2010)

AQuES
by: Stillger, Michael
Published: (2000)

Relaxation and decomposition methods for mixed integer nonlinear programming
by: Nowak, Ivo
Published: (2005)

Regulatorketten in Butlergruppen
by: Joachim, Silvia
Published: (2004)

Characterization of the D-Norm Corresponding to a Multivariate Extreme Value Distribution
by: Hofmann, Daniel
Published: (2009)

Realisierbarer Portfoliowert in illiquiden Finanzmärkten
by: Baum, Dietmar
Published: (2001)

Information and semimartingales
by: Ankirchner, Stefan
Published: (2005)

Optimization of nonsmooth first order hyperbolic systems
by: Strogies, Nikolai
Published: (2016)

Konsistente und konsequente dynamische Risikomaße und das Problem der Aktualisierung
by: Tutsch, Sina
Published: (2007)

Stochastic control in limit order markets
by: Naujokat, Felix
Published: (2011)

A kinetic model for grain growth
by: Henseler, Reiner
Published: (2007)

Measures and models of financial risk
by: Weber, Stefan
Published: (2004)

Augmented Lagrangian Methods for State Constrained Optimal Control Problems
by: Karl, Veronika
Published: (2020)

Approximation of nonsmooth optimization problems and elliptic variational inequalities with applications to elasto-plasticity
by: Rösel, Simon
Published: (2017)

Femtosecond broadbandfluorescence upconversion
by: Schanz, Hans Roland
Published: (2002)

Intersection cohomology of hypersurfaces
by: Wotzlaw, Lorenz
Published: (2008)

Nichtkommutative Blochtheorie
by: Gruber, Michael
Published: (1998)

Reachable sets of numerical iteration schemes : a system semigroup approach
by: Jordan, Jens
Published: (2008)

Efficiency improving implementation techniques for large scale matrix equation solvers
by: Köhler, Martin, et al.
Published: (2010)

Aspekte unendlichdimensionaler Martingaltheorie und ihre Anwendung in der Theorie der Finanzmärkte
by: Schöckel, Thomas
Published: (2004)

Ein Mikro-Makro-Übergang für die nichtlineare atomare Kette mit Temperatur
by: Herrmann, Michael
Published: (2005)