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Finance and Stochastics

Issue 1/1999

Content (6 Articles)

Stock market prices and long-range dependence

Walter Willinger, Murad S. Taqqu, Vadim Teverovsky

Turnpike behavior of long-term investments

Chi-fu Huang, Thaleia Zariphopoulou

A closed-form solution to the problem of super-replication under transaction costs

Jakša Cvitanić, Huyên Pham, Nizar Touzi

Connecting discrete and continuous path-dependent options

Mark Broadie, Paul Glasserman, S.G. Kou

Dynamic programming and mean-variance hedging

Jean Paul Laurent, Huyên Pham

Hedging contingent claims on semimartingales

Robert Jarrow, Dilip B. Madan

Aug 98
Issue: 4/1998
Feb 99
Issue: 2/1999

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