SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
16 references·0 citing·38 second hop
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (2008)Max-Plus decomposition of supermartingale…Theory of games and economic behavior (2019)Theory of games and economic …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Some remarks on first passage…Optimal portfolio management with American capital guarantee (2004)Optimal portfolio management …Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Stochastic Finance (2002)Stochastic FinanceMonte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Optimization of consumption with labor income (1998)Optimization of consumption w…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Multi-Armed Bandits and the Gittins Index (1980)Multi-Armed Bandits and the G…Bandit Processes and Dynamic Allocation Indices (1979)Restless bandits: activity allocation in a changing world (1988)Multi-armed Bandit Models for the Optimal Design of Clinical Trials: Benefits and Challenges (2015)Bandit Algorithms (2020)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The Pricing of Options and Corporate Liabilities (1973)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Towards a Theory of Volatility Trading (2010)Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)Controlled Stochastic Processes (1979)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Partial Differential Equations (2010)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Pricing American-style securities using simulation (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Pricing American Options: A Duality Approach (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Intermediary Asset Pricing (2013)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)A general version of the fundamental theorem of asset pricing (1994)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
this work references cited by second hop

References

  • 2019Theory of games and economic behavior16,777 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1998Methods of Mathematical Finance2,335 cited
  • 1988Brownian Motion and Stochastic Calculus1,559 cited
  • 1986Stochastic Calculus and Applications.686 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1980Multi-Armed Bandits and the Gittins Index515 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 2002Stochastic Finance251 cited
  • 2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
  • 1998Optimization of consumption with labor income185 cited
  • 2004Optimal portfolio management with American capital guarantee

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

116 cited

Cited by

No citing works inside the corpus for this window.