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Utility-Based Derivative Pricing in Incomplete Markets
16 references·4 citing·28 second hop
Utility-Based Derivative Pricing in Incomplete Markets (2002)Utility-Based Derivative Pricing in Incom…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …How non-arbitrage, viability and numéraire portfolio are related (2015)How non-arbitrage, viability …UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010)UTILITY MAXIMIZATION IN AFFIN…A PDE approach for risk measures for derivatives with regime switching (2007)A PDE approach for risk measu…Derivative pricing based on local utility maximization (2002)Derivative pricing based on l…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An Equilibrium Model with Restricted Stock Market Participation (1998)Tails, Fears, and Risk Premia (2011)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Arbitrage Theory in Continuous Time (1998)
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References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
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  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance639 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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584 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • Cited by

    • 2010UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS50 cited
    • 2002Derivative pricing based on local utility maximization48 cited
    • 2015How non-arbitrage, viability and numéraire portfolio are related39 cited
    • 2007A PDE approach for risk measures for derivatives with regime switching33 cited