SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Price functionals with bid–ask spreads: an axiomatic approach
14 references·6 citing·31 second hop
Price functionals with bid–ask spreads: an axiomatic approach (2000)Price functionals with bid–ask spreads: a…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Limit Theorem on Option Replication Cost with Transaction Costs (1995)Limit Theorem on Option Repli…ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS (1995)ARBITRAGE IN SECURITIES MARKE…Implied Binomial Trees (1994)Implied Binomial TreesOption Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Game Options in an Imperfect Market with Default (2017)Game Options in an Imperfect …MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION (2014)MULTIDIMENSIONAL DYNAMIC RISK…Acceptability indexes via $$g$$ -expectations: an application to liquidity risk (2013)Acceptability indexes via $$g…Pricing rules and Arrow–Debreu ambiguous valuation (2011)Pricing rules and Arrow–Debre…AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA (2010)AN ANALYSIS OF THE SUPPLY CUR…Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model (2006)Asset Pricing and Hedging in …The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Prices of State-Contingent Claims Implicit in Option Prices (1978)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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 valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Continuous-Time Finance. (1991)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)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Asset Pricing in Economies with Frictions (1996)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
this work references cited by second hop

References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS159 cited
  • 1995Limit Theorem on Option Replication Cost with Transaction Costs79 cited

Cited by

  • 2017Game Options in an Imperfect Market with Default

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

40 cited
  • 2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model34 cited
  • 2010AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA30 cited
  • 2011Pricing rules and Arrow–Debreu ambiguous valuation30 cited
  • 2013Acceptability indexes via $$g$$ -expectations: an application to liquidity risk27 cited
  • 2014MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION24 cited