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Comparison of semimartingales and Lévy processes
14 references·0 citing·43 second hop
Comparison of semimartingales and Lévy processes (2007)Comparison of semimartingales and Lévy pr…Comparison of Option Prices in Semimartingale Models (2006)Comparison of Option Prices i…The approximate Euler method for Lévy driven stochastic differential equations (2005)The approximate Euler method …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Coupling and option price comparisons in a jump-diffusion model (2003)Coupling and option price com…A semi-parametric approach to risk management (2003)A semi-parametric approach to…Bounds on option prices for semimartingale market models (2001)Bounds on option prices for s…Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps (2000)Weak Approximations and Extra…Incompleteness of markets driven by a mixed diffusion (2000)Incompleteness of markets dri…Volatility misspecification, option pricing and superreplication via coupling (1998)Volatility misspecification, …Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…The Euler scheme for Lévy driven stochastic differential equations (1997)The Euler scheme for Lévy dri…A new comparison theorem for solutions of stochastic differential equations (1980)A new comparison theorem for …A comparison theorem for solutions of stochastic differential equations and its applications (1977)A comparison theorem for solu…On a comparison theorem for solutions of stochastic differential equations and its applications (1973)On a comparison theorem for s…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations (1999)Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations (2005)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)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)Comparison results for stochastic volatility models via coupling (2008)Comparison of semimartingales and Lévy processes (2012)Numerical solution of stochastic differential equations (2016)The Behavior of Stock-Market Prices (1965)Continuous Martingales and Brownian Motion (1999)Non-Gaussian OU based models and some of their uses in financial economics (2000)Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Polynomial processes and their applications to mathematical finance (2012)The Pricing of Options and Corporate Liabilities (1973)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)Stochastic Analysis (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Stochastic Integration and Differential Equations (2005)Threshold estimation of Markov models with jumps and interest rate modeling (2010)A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (2011)Numerical simulations and modeling for stochastic biological systems with jumps (2013)The law of the Euler scheme for stochastic differential equations (1996)Approximation of jump diffusions in finance and economics (2007)Adaptive Weak Approximation of Diffusions with Jumps (2008)Weak Order for the Discretization of the Stochastic Heat Equation Driven by Impulsive Noise (2012)Option pricing when underlying stock returns are discontinuous (1976)Hedging of contingent claims under incomplete information (1990)Jump-Diffusion Models (2003)Risk measure pricing and hedging in incomplete markets (2005)On the strong comparison theorems for solutions of stochastic differential equations (1981)Applications du temps local aux equations differentielles stochastiques unidimensionnelles (1983)STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)Optimal Investments for Robust Utility Functionals in Complete Market Models (2005)Adapted Wasserstein distances and stability in mathematical finance (2020)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1977A comparison theorem for solutions of stochastic differential equations and its applications304 cited
  • 1997The Euler scheme for Lévy driven stochastic differential equations244 cited
  • 1998Volatility misspecification, option pricing and superreplication via coupling136 cited
  • 1973On a comparison theorem for solutions of stochastic differential equations and its applications119 cited
  • 2000Incompleteness of markets driven by a mixed diffusion96 cited
  • 2005The approximate Euler method for Lévy driven stochastic differential equations84 cited
  • 2006Comparison of Option Prices in Semimartingale Models61 cited
  • 2000Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps52 cited
  • 2003A semi-parametric approach to risk management47 cited
  • 2001Bounds on option prices for semimartingale market models40 cited
  • 2003Coupling and option price comparisons in a jump-diffusion model39 cited
  • 1980A new comparison theorem for solutions of stochastic differential equations35 cited

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