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Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets
9 references·6 citing·35 second hop
Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets (1999)Minimal Entropy Martingale Measures of Ju…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 …A Simple Counterexample to Several Problems in the Theory of Asset Pricing (1998)A Simple Counterexample to Se…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On Square Integrable Martingales (1967)On Square Integrable Martinga…Regime-Switching Risk: To Price or Not to Price? (2011)Regime-Switching Risk: To Pri…MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005)MINIMAL ENTROPY–HELLINGER MAR…Utility-Based Derivative Pricing in Incomplete Markets (2002)Utility-Based Derivative Pric…Derivative pricing based on local utility maximization (2002)Derivative pricing based on l…Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach (2002)Calibration of Jump-Diffusion…[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems (2001)[Geometric Lévy Process & MEM…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Dynamic Asset Pricing Theory. (1993)UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010)How non-arbitrage, viability and numéraire portfolio are related (2015)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1999)On the Existence of Minimax Martingale Measures (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Theory of Martingales (1989)Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)The minimal entropy martingale measures for geometric L�vy processes (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)The Pricing of Options and Corporate Liabilities (1973)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)The cumulant process and Esscher's change of measure (2002)Option pricing and Esscher transform under regime switching (2005)Approximation pricing and the variance-optimal martingale measure (1996)A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)Martingale densities for general asset prices (1992)A super-martingale property of the optimal portfolio process (2003)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1967On Square Integrable Martingales617 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
  • 1998A Simple Counterexample to Several Problems in the Theory of Asset Pricing87 cited

Cited by

  • 2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
  • 2005MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS54 cited
  • 2002Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach52 cited
  • 2001[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems49 cited
  • 2002Derivative pricing based on local utility maximization48 cited
  • 2011Regime-Switching Risk: To Price or Not to Price?

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24 cited