79 citations · 228 across the 17 of their papers we have counts for
4 papers · 1 filter
A First-Order BSPDE for Swing Option Pricing: Classical Solutions
Christian Bender, Nikolai Dokuchaev
In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process…
Sticky continuous processes have consistent price systems
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves wit…
A First-Order BSPDE for Swing Option Pricing
Christian Bender, Nikolai Dokuchaev
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a…
Fractional processes as models in stochastic finance
Christian Bender, Tommi Sottinen, Esko Valkeila
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportu…