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Martingale densities for general asset prices
16 references·11 citing·34 second hop
Martingale densities for general asset prices (1992)Martingale densities for general asset pr…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED (1992)REPRESENTING MARTINGALE MEASU…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Option hedging for semimartingales (1991)Option hedging for semimartin…On the fundamental theorem of asset pricing with an infinite state space (1991)On the fundamental theorem of…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Asset pricing for general processes (1991)Asset pricing for general pro…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and Stochastic Integrals in the Theory of Continous Trading (1981)Martingales and Stochastic In…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Volatility and arbitrage (2018)Volatility and arbitrageWEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …On arbitrages arising with honest times (2014)On arbitrages arising with ho…Diffusion-Based Models for Financial Markets Without Martingale Measures (2013)Diffusion-Based Models for Fi…Optimal Trading Strategies Under Arbitrage (2011)Optimal Trading Strategies Un…Arbitrage in skew Brownian motion models (2011)Arbitrage in skew Brownian mo…Risk Minimizing Option Pricing in a Semi-Markov Modulated Market (2009)Risk Minimizing Option Pricin…ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE (2007)ASSET PRICING WITH NO EXOGENO…No Arbitrage and the Growth Optimal Portfolio (2006)No Arbitrage and the Growth O…DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS 1 (1993)DISCONTINUOUS ASSET PRICES AN…A Counterexample to Several Problems In the Theory of Asset Pricing (1993)A Counterexample to Several P…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)An Equilibrium Model with Restricted Stock Market Participation (1998)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Optimal Portfolio Choice under Loss Aversion (2004)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On the pricing of American options (1988)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Option pricing and Esscher transform under regime switching (2005)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Arbitrage and duality in nondominated discrete-time models (2015)Asset Pricing in Economies with Frictions (1996)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 1991Option hedging for semimartingales379 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 1991Asset pricing for general processes203 cited
  • 1992REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED201 cited
  • 1981Martingales and Stochastic Integrals in the Theory of Continous Trading

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176 cited
  • 1991On the fundamental theorem of asset pricing with an infinite state space131 cited
  • Cited by

    • 2006No Arbitrage and the Growth Optimal Portfolio69 cited
    • 1993DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS 158 cited
    • 2014On arbitrages arising with honest times56 cited
    • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
    • 2009Risk Minimizing Option Pricing in a Semi-Markov Modulated Market36 cited
    • 2011Arbitrage in skew Brownian motion models25 cited
    • 2011Optimal Trading Strategies Under Arbitrage25 cited
    • 2018Volatility and arbitrage23 cited
    • 2007ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE22 cited
    • 2013Diffusion-Based Models for Financial Markets Without Martingale Measures19 cited
    • 1993A Counterexample to Several Problems In the Theory of Asset Pricing19 cited