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Mathematical analysis of different approaches for replicating portfolios
10 references·1 citing·43 second hop
Mathematical analysis of different approaches for replicating portfolios (2014)Mathematical analysis of different approa…Stochastic Finance (2011)Stochastic FinanceOn the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…On value preserving and growth optimal portfolios (1999)On value preserving and growt…Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Machine Learning With Kernels for Portfolio Valuation and Risk Management (2019)Machine Learning With Kernels…Numerical Methods in Economics (1998)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Monte Carlo Methods in Financial Engineering (2003)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option pricing: A simplified approach (1979)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Pricing Interest-Rate-Derivative Securities (1990)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An equilibrium characterization of the term structure (1977)Options, Futures and Other Derivatives (2003)A joint valuation of premium payment and surrender options in participating life insurance contracts (2011)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)A Benchmark Framework for Risk Management (2004)Brownian Motion and Stochastic Calculus (2007)Machine Learning for Financial Engineering (2011)On the History of the Growth-Optimal Portfolio (2012)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited
  • 2011Stochastic Finance424 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2010On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View42 cited
  • 1999On value preserving and growth optimal portfolios42 cited

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  • 2019Machine Learning With Kernels for Portfolio Valuation and Risk Management18 cited

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