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Option Pricing Under Incompleteness and Stochastic Volatility

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References

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1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
1986

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Explicit Solution of a General Consumption/Investment Problem

387 cited

1991Option hedging for semimartingales379 cited

Cited by

1996Principles for modelling financial markets88 cited
1999Stochastic volatility, smile & asymptotics71 cited
2006Comparison of Option Prices in Semimartingale Models61 cited
2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
2004A Fair Pricing Approach to Weather Derivatives54 cited
2006On changes of measure in stochastic volatility models51 cited
2001Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis49 cited
1999A minimality property of the minimal martingale measure48 cited
2012Finite-Element Methods46 cited
2000Conservative delta hedging45 cited
2003A semimartingale BSDE related to the minimal entropy martingale measure45 cited
1999Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times42 cited
2009Risk Minimizing Option Pricing in a Semi-Markov Modulated Market36 cited
2002An Autoregressive Conditional Binomial Option Pricing Model35 cited
2007Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets30 cited
2001OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST30 cited