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Pathwise stochastic integration and applications to the theory of continuous trading
16 references·2 citing·31 second hop
Pathwise stochastic integration and applications to the theory of continuous trading (1989)Pathwise stochastic integration and appli…IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)IMPLEMENTING ARROW-DEBREU EQU…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities (1985)Implementing Arrow-Debreu Equ…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Point Processes and Queues (1981)Point Processes and QueuesMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On Square Integrable Martingales (1967)On Square Integrable Martinga…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…Multiple Wiener Integral (1951)Multiple Wiener IntegralStochastic integral (1944)Stochastic integralFrom Discrete to Continuous Financial Models: New Convergence Results For Option Pricing (1993)From Discrete to Continuous F…Diffusion Approximation in Past Dependent Models and Applications to Option Pricing (1991)Diffusion Approximation in Pa…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 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)Stochastic Differential Equations in a Differentiable Manifold (1950)On a Generalization of a Stochastic Integral (1976)Functional Itô calculus and stochastic integral representation of martingales (2013)Stochastic integrals in the plane (1975)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)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)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)A Wong-Zakai theorem for stochastic PDEs (2015)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1981Point Processes and Queues1,652 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1951Multiple Wiener Integral699 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1967On Square Integrable Martingales617 cited
  • 1944Stochastic integral547 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES351 cited
  • 1985Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities296 cited
  • 1981Calcul d'ito sans probabilites

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247 cited

Cited by

  • 1991Diffusion Approximation in Past Dependent Models and Applications to Option Pricing27 cited
  • 1993From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing25 cited