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Pricing in Incomplete Markets
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Pricing in Incomplete Markets (2011)Pricing in Incomplete MarketsAmbiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Coherent Measures of Risk (1999)Coherent Measures of RiskA general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Stochastic Differential Utility (1992)Stochastic Differential Utili…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An introduction to mathematical risk theory (1979)An introduction to mathematic…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…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…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Lectures on Stochastic Programming (2009)Convex Duality in Constrained Portfolio Optimization (1992)Stochastic Finance: An Introduction in Discrete Time (2002)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Backward Stochastic Differential Equations in Finance (1997)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Brownian Motion and Stochastic Calculus (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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,176 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2006A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1979An introduction to mathematical risk theory

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