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State Tameness: A New Approach for Credit Constrains
16 references·0 citing·34 second hop
State Tameness: A New Approach for Credit Constrains (2004)State Tameness: A New Approach for Credit…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …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.The Pricing of the American Option (1992)The Pricing of the American O…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…On the pricing of American options (1988)On the pricing of American op…On the theory of option pricing (1984)On the theory of option prici…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)The Pricing of Options and Corporate Liabilities (1973)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)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)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)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)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)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)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)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
  • 1998Methods of Mathematical Finance1,939 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
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1988On the pricing of American options382 cited
  • 1992The Pricing of the American Option348 cited
  • 1984

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On the theory of option pricing
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