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Dual representation of superhedging costs in illiquid markets
16 references·1 citing·36 second hop
Dual representation of superhedging costs in illiquid markets (2011)Dual representation of superhedging costs…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Finance (2004)Stochastic FinancePricing American Options: A Duality Approach (2004)Pricing American Options: A D…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent risk measures and good-deal bounds (2001)Coherent risk measures and go…Hedging and liquidation under transaction costs in currency markets (1999)Hedging and liquidation under…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)A Hilbert space proof of the …Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Mathematical methods of game and economic theory (1979)Mathematical methods of game …A BSDE approach to fair bilateral pricing under endogenous collateralization (2016)A BSDE approach to fair bilat…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)A Guided Tour through Quadratic Hedging Approaches (2010)Coherent Measures of Risk (1999)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Mean-Variance Hedging for General Claims (1992)Arbitrage and duality in nondominated discrete-time models (2015)Pricing American-style securities using simulation (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Dynamic Asset Pricing Theory. (1993)Markov Perfect Industry Dynamics with Many Firms (2005)Cooperative Fuzzy Games (1981)Coherent allocation of risk capital (2001)Intertemporal asset pricing under knightian uncertainty (2004)Asset Pricing in Economies with Frictions (1996)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
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References

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  • 2016A BSDE approach to fair bilateral pricing under endogenous collateralization24 cited