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Martingale representation and hedging policies
10 references·0 citing·35 second hop
Martingale representation and hedging policies (1991)Martingale representation and hedging pol…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities (1989)Integration by Parts, Homogen…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Stochastic Calculus and Applications. (1984)Stochastic Calculus and Appli…Malliavin's calculus and stochastic integral representations of functional of diffusion processes† (1984)Malliavin's calculus and stoc…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Stochastic Differential Equations and Applications (1976)Stochastic differential equations and applications (1977)Stochastic Differential Equations and Diffusion Processes (1983)Variance Reduction for Simulated Diffusions (1994)Adapted solution of a degenerate backward spde, with applications (1997)Equilibrium Positive Interest Rates: A Unified View (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Effects of financial innovations on market volatility when beliefs are heterogeneous (1998)Optimal trading strategy for an investor: the case of partial information (1998)Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Diffusion approximations for a risk process with the possibility of borrowing and investment (1994)Conservative delta hedging (2000)Existence, uniqueness and comparisons for BSDEs in general spaces (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)The second order minimum principle and adjoint process (1994)WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 cited
  • 1984Malliavin's calculus and stochastic integral representations of functional of diffusion processes†153 cited
  • 1984Stochastic Calculus and Applications.79 cited
  • 1989Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities34 cited

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