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Optimal investment problems and volatility homogenization approximations
16 references·7 citing·31 second hop
Optimal investment problems and volatility homogenization approximations (2002)Optimal investment problems and volatilit…Theory of rational option pricing (2005)Theory of rational option pri…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Stochastic Differential Equations (2003)Stochastic Differential Equat…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Stochastic Differential Equations (1998)Stochastic Differential Equat…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Continuous-Time Finance. (1991)Continuous-Time Finance.Continuous-Time Finance. (1991)Continuous-Time Finance.The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform (2016)Optimal consumption–investmen…Filtering and portfolio optimization with stochastic unobserved drift in asset returns (2015)Filtering and portfolio optim…Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model (2013)Optimal Investment Strategies…Optimal investment strategies for the HARA utility under the constant elasticity of variance model (2012)Optimal investment strategies…An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts (2010)An extended CEV model and the…Risk premium and fair option prices under stochastic volatility: the HARA solution (2005)Risk premium and fair option …Singular Perturbations for Boundary Value Problems Arising from Exotic Options (2004)Singular Perturbations for Bo…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)An Engine, Not a Camera (2006)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1998Stochastic Differential Equations714 cited
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  • 1993European Option Pricing with Transaction Costs474 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited

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  • 2012Optimal investment strategies for the HARA utility under the constant elasticity of variance model60 cited
  • 2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts37 cited
  • 2015Filtering and portfolio optimization with stochastic unobserved drift in asset returns34 cited
  • 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform29 cited
  • 2013Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model26 cited
  • 2005Risk premium and fair option prices under stochastic volatility: the HARA solution26 cited
  • 2004Singular Perturbations for Boundary Value Problems Arising from Exotic Options26 cited