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Optional decomposition and Lagrange multipliers
6 references·16 citing·46 second hop
Optional decomposition and Lagrange multipliers (1997)Optional decomposition and Lagrange multi…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…On the range of options prices (1997)On the range of options pricesOptional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Stochastic control for a class of nonlinear kernels and applications (2015)Stochastic control for a clas…ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)ROBUST FUNDAMENTAL THEOREM FO…A note on the condition of no unbounded profit with bounded risk (2014)A note on the condition of no…Market viability via absence of arbitrage of the first kind (2012)Market viability via absence …Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2010)Finitely Additive Probabiliti…Robust projections in the class of martingale measures (2006)Robust projections in the cla…Monotone and cash-invariant convex functions and hulls (2006)Monotone and cash-invariant c…Risk measure pricing and hedging in incomplete markets (2005)Risk measure pricing and hedg…Pricing derivatives of American and game type in incomplete markets (2004)Pricing derivatives of Americ…American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)American Options, Multi–armed…Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model (2002)Hedging under Transaction Cos…Hedging of Contingent Claims under Transaction Costs (2002)Hedging of Contingent Claims …Rational Hedging and Valuation with Utility-Based Preferences (2001)Rational Hedging and Valuatio…Optimal consumption choice with intertemporal substitution (2001)Optimal consumption choice wi…Some remarks on the optional decomposition theorem (1998)Some remarks on the optional …Asymptotic arbitrage in large financial markets (1998)Asymptotic arbitrage in large…Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of Financial Decision Making. 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this work references cited by second hop

References

  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1997On the range of options prices149 cited

Cited by

  • 2005Risk measure pricing and hedging in incomplete markets91 cited
  • 1998Asymptotic arbitrage in large financial markets88 cited
  • 2001Optimal consumption choice with intertemporal substitution83 cited
  • 2015ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES82 cited
  • 2012Market viability via absence of arbitrage of the first kind79 cited
  • 2004Pricing derivatives of American and game type in incomplete markets77 cited
  • 2014A note on the condition of no unbounded profit with bounded risk75 cited
  • 2010Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing68 cited
  • 2015Stochastic control for a class of nonlinear kernels and applications

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59 cited
  • 2006Robust projections in the class of martingale measures53 cited
  • 2003American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View50 cited
  • 2006Monotone and cash-invariant convex functions and hulls50 cited
  • 2002Hedging of Contingent Claims under Transaction Costs47 cited
  • 2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model47 cited
  • 2001Rational Hedging and Valuation with Utility-Based Preferences47 cited
  • 1998Some remarks on the optional decomposition theorem46 cited