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Optimal investment in derivative securities
16 references·6 citing·39 second hop
Optimal investment in derivative securities (2001)Optimal investment in derivative securiti…Stochastic Differential Equations (2006)Stochastic Differential Equat…Optimal positioning in derivative securities (2001)Optimal positioning in deriva…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Generalized Gamma Convolutions and Related Classes of Distributions and Densities (1992)Generalized Gamma Convolution…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Options and Efficiency (1976)Options and EfficiencyOption pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Robust Consumption and Portfolio Policies When Asset Prices Can Jump (2017)Robust Consumption and Portfo…Optimizing international portfolios with options and forwards (2011)Optimizing international port…HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (2011)HEDGING (CO)VARIANCE RISK WIT…Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments (2007)Variance Risk Dynamics, Varia…Stochastic volatility, jumps and hidden time changes (2002)Stochastic volatility, jumps …How Firms Should Hedge (2001)How Firms Should HedgeThe Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Brownian Motion and Stochastic Calculus (2007)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Analysis of Economic Time-Series-Part I: Prices (1953)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1976Options and Efficiency830 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 2001Optimal positioning in derivative securities382 cited
  • 1992

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Generalized Gamma Convolutions and Related Classes of Distributions and Densities
318 cited

Cited by

  • 2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump52 cited
  • 2002Stochastic volatility, jumps and hidden time changes42 cited
  • 2011Optimizing international portfolios with options and forwards41 cited
  • 2007Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments38 cited
  • 2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS34 cited
  • 2001How Firms Should Hedge29 cited