Items where Author is "Rheinlander, Thorsten"
Number of items: 11.
Article
Valuation of barrier options via a general self-duality. (2016)
Alòs, Elisa; Chen, Zhanyu; Rheinlander, Thorsten
Relative liquidity and future volatility. (2015)
Valenzuela, Marcela; Zer, Ilknur; Fryzlewicz, Piotr; Rheinlander, Thorsten
Asymptotic utility-based pricing and hedging for exponential utility. (2011)
Kallsen, Jan; Rheinlander, Thorsten
Utility indifference hedging with exponential additive processes. (2010)
Rheinlander, Thorsten; Steiger, Gallus
Arbitrage opportunities in diverse markets via a non-equivalent measure change. (2006)
Rheinlander, Thorsten; Osterrieder, Jörg R
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. (2006)
Rheinlander, Thorsten; Steiger, Gallus
A stochastic version of Zeeman's market model. (2005)
Rheinlander, Thorsten; Steinkamp, Marcus
An entropy approach to the Stein and Stein model with correlation. (2005)
Rheinlander, Thorsten
Exponential hedging and entropic penalties. (2002)
Delbaen, Freddy; Grandits, Peter; Rheinlander, Thorsten; Samperi, Domenick; Schweizer, Martin; Stricker, Christophe
On the minimal entropy martingale measure. (2002)
Grandits, Peter; Rheinlander, Thorsten