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On the Hedging of Options On Exploding Exchange Rates

Citations

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Cited by:

  1. Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
  2. Sebastian F. Tudor & Rupak Chatterjee & Igor Tydniouk, 2021. "On a new parametrization class of solvable diffusion models and transition probability kernels," Quantitative Finance, Taylor & Francis Journals, vol. 21(10), pages 1773-1790, October.
  3. David Criens & Mikhail Urusov, 2023. "Criteria for the absence of arbitrage in general diffusion markets," Papers 2306.11470, arXiv.org, revised Sep 2024.
  4. Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj, 2014. "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Papers 1406.0551, arXiv.org, revised Jun 2015.
  5. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial Models with Defaultable Numéraires," Post-Print hal-01240736, HAL.
  6. Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
  7. Kreher, Dörte & Nikeghbali, Ashkan, 2015. "A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 94-101.
  8. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
  9. Johannes Ruf, 2012. "Negative Call Prices," Papers 1204.1903, arXiv.org, revised Jan 2013.
  10. Petteri Piiroinen & Lassi Roininen & Martin Simon, 2019. "Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile," Papers 1912.05773, arXiv.org, revised Mar 2020.
  11. Johannes Muhle-Karbe & Marcel Nutz, 2018. "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, vol. 22(2), pages 281-295, April.
  12. Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
  13. Kardaras, Constantinos & Kreher, Dörte & Nikeghbali, Ashkan, 2015. "Strict local martingales and bubbles," LSE Research Online Documents on Economics 64967, London School of Economics and Political Science, LSE Library.
  14. Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
  15. Fisher, Travis & Pulido, Sergio & Ruf, Johannes, 2019. "Financial models with defaultable numéraires," LSE Research Online Documents on Economics 84973, London School of Economics and Political Science, LSE Library.
  16. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
  17. Artur Sepp & Parviz Rakhmonov, 2025. "Stochastic volatility for factor Heath–Jarrow–Morton framework," Review of Derivatives Research, Springer, vol. 28(3), pages 1-57, October.
  18. Erhan Bayraktar & Xiang Yu, 2013. "Erratum to "On the market viability under proportional transaction costs"," Papers 1312.3917, arXiv.org, revised Sep 2025.
  19. Michael R. Tehranchi, 2014. "Arbitrage theory without a num\'eraire," Papers 1410.2976, arXiv.org, revised Jul 2015.
  20. Christian Furrer, 2022. "Scaled insurance cash flows: representation and computation via change of measure techniques," Finance and Stochastics, Springer, vol. 26(2), pages 359-382, April.
  21. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
  22. Dandapani, Aditi & Protter, Philip, 2022. "Strict local martingales and the Khasminskii test for explosions," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 716-728.
  23. Yukihiro Tsuzuki, 2024. "Boundary conditions at infinity for Black-Scholes equations," Papers 2401.05549, arXiv.org, revised Apr 2025.
  24. Carole Bernard & Zhenyu Cui & Don McLeish, 2013. "On the martingale property in stochastic volatility models based on time-homogeneous diffusions," Papers 1310.0092, arXiv.org, revised Jul 2014.
  25. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
  26. Robert A. Jarrow & Simon S. Kwok, 2023. "An explosion time characterization of asset price bubbles," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 469-479, June.
  27. Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
  28. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
  29. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial models with defaultable numéraires," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 117-136, January.
  30. repec:hal:wpaper:hal-00814702 is not listed on IDEAS
  31. Philip Protter & Aditi Dandapani, 2019. "Strict Local Martingales and the Khasminskii test for Explosions," Papers 1903.02383, arXiv.org.
  32. Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
  33. Hardy Hulley & Johannes Ruf, 2019. "Weak Tail Conditions for Local Martingales," Published Paper Series 2019-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  34. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
  35. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org, revised Apr 2025.
  36. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "Why are quadratic normal volatility models analytically tractable?," Papers 1202.6187, arXiv.org, revised Mar 2013.
  37. Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.
  38. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
  39. Thomas Krabichler & Josef Teichmann, 2020. "A constraint-based notion of illiquidity," Papers 2004.12394, arXiv.org.
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