SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Incomplete markets: convergence of options values under the minimal martingale measure
16 references·0 citing·35 second hop
Incomplete markets: convergence of options values under the minimal martingale measure (1999)Incomplete markets: convergence of option…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 (1992)From Discrete‐ to Continuous‐…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Option hedging for semimartingales (1991)Option hedging for semimartin…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage 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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Stochastic Differential Equations and Diffusion Processes (1983)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Nonlinear Regressions with Integrated Time Series (2001)A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries (2008)Stochastic Integration and Differential Equations : A New Approach (2014)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)Asset Pricing in Economies with Frictions (1996)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Arbitrage Theory in Continuous Time (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited

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

1992
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
111 cited

Cited by

No citing works inside the corpus for this window.