SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal investment in derivative securities · Study

ArticleShelves

ArticleOptimal investment in derivative securities

Peter Carr2001

Article2001

Optimal investment in derivative securities

Peter Carr · Xing Jin · Dilip B. Madan

57 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 57 citations exist upstream.

References

1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1978Prices of State-Contingent Claims Implicit in Option Prices 1998Methods of Mathematical Finance 1998The Variance Gamma Process and Option Pricing 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1990The Variance Gamma (V.G.) Model for Share Market Returns

Cited by

2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump 2002Stochastic volatility, jumps and hidden time changes 2011Optimizing international portfolios with options and forwards 2007Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments 2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 2001How Firms Should Hedge

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2001Optimal positioning in derivative securitiesarticle · 6 shared references 2006Model Uncertainty and Option Markets with Heterogeneous Beliefsarticle · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 2007PORTFOLIO MANAGEMENT WITH CONSTRAINTSarticle · 6 shared references 2010Purely Discontinuous Asset Price Processeschapter · 6 shared references 2013Best portfolio insurance for long-term investment strategies in realistic conditionsarticle · 6 shared references

Details

Year2001

Typearticle

Published2001-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations57

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s007800000023

openalex_workW2010799156

Links

Imported from OpenAlex (CC0) — nothing here is generated.