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Hedging with risk for game options in discrete time
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Hedging with risk for game options in discrete time (2007)Hedging with risk for game options in dis…Pricing Israeli options: a pathwise approach (2006)Pricing Israeli options: a pa…Exotic Option Pricing and Advanced Levy Models (2005)Exotic Option Pricing and Adv…Convertible Bonds: Financial Derivatives of Game Type (2005)Convertible Bonds: Financial …Some calculations for Israeli options (2004)Some calculations for Israeli…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Stochastic Finance (2002)Stochastic FinanceStatistics of Random Processes (2001)Statistics of Random ProcessesGame options (2000)Game optionsESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Quantile hedging (1999)Quantile hedgingOn dynamic measures of risk (1999)On dynamic measures of riskEssentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time (1995)Toward the Theory of Pricing …Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating (1986)Optimal Stopping in Sequentia…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Coherent Measures of Risk (1999)Actuarial versus Financial Pricing of Insurance (2000)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Variance-optimal hedging for processes with stationary independent increments (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A general version of the fundamental theorem of asset pricing (1994)Robust hedging of the lookback option (1998)Stochastic Integration and Differential Equations (2005)Functional Itô calculus (2019)Capital market equilibrium in a mean-lower partial moment framework (1977)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices (2000)Portfolio management with heuristic optimization (2005)CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Dynamical pricing of weather derivatives (2002)The cumulant process and Esscher's change of measure (2002)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Optimal Stopping Games for Markov Processes (2008)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)Dynamic exponential utility indifference valuation (2005)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (2004)Satisficing Measures for Analysis of Risky Positions (2008)PORTFOLIO CHOICE VIA QUANTILES (2010)Robust control and model misspecification (2006)Asset Prices and Exchange Rates (2007)An Institutional Theory of Momentum and Reversal (2013)PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (2005)Wavelet Galerkin pricing of American options on Lévy driven assets (2005)Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006)
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References

  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2001Statistics of Random Processes514 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 1999Quantile hedging294 cited
  • 2002Stochastic Finance251 cited
  • 2000Game options204 cited
  • 1999On dynamic measures of risk184 cited
  • 1999Essentials of Stochastic Finance134 cited
  • 2004Some calculations for Israeli options99 cited
  • 1995Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time75 cited
  • 2005Exotic Option Pricing and Advanced Levy Models75 cited
  • 2005Convertible Bonds: Financial Derivatives of Game Type37 cited
  • 1986Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating36 cited
  • 2006Pricing Israeli options: a pathwise approach23 cited

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