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DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS 1
7 references·9 citing·34 second hop
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this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1972Stochastic Differential Equations977 cited
  • 1991Option hedging for semimartingales379 cited
  • 1992Martingale densities for general asset prices72 cited

Cited by

  • 2008Exchange Options Under Jump-Diffusion Dynamics48 cited
  • 2008A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market43 cited
  • 2001Option Pricing with a General Marked Point Process42 cited
  • 2011On pricing and hedging options in regime-switching models with feedback effect38 cited
  • 2009Risk Minimizing Option Pricing in a Semi-Markov Modulated Market36 cited
  • 1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?34 cited
  • 2010The Föllmer–Schweizer decomposition: Comparison and description26 cited
  • 2010Minimal Martingale Measure26 cited

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  • 2007OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS25 cited