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A Girsanov Type Theorem Under G-Framework
11 references·3 citing·39 second hop
A Girsanov Type Theorem Under G-Framework (2011)A Girsanov Type Theorem Under G-FrameworkFunction Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Martingale characterization of G-Brownian motion (2008)Martingale characterization o…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty (2007)G-Brownian Motion and Dynamic…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation (2018)Quadratic backward stochastic…Theory, methods and meaning of nonlinear expectation theory (2017)Theory, methods and meaning o…Girsanov’s formula for G -Brownian motion (2012)Girsanov’s formula for G -Bro…Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Wellposedness of second order backward SDEs (2011)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Limit Theorems for Stochastic Processes (2003)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)Arbitrage and duality in nondominated discrete-time models (2015)Martingales and arbitrage in multiperiod securities markets (1979)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Robust hedging of the lookback option (1998)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Financial markets with volatility uncertainty (2014)Optimal stopping under nonlinear expectation (2014)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Diffusion processes with continuous coefficients, I (1969)Optimization Problems in the Theory of Continuous Trading (1989)Asset Prices in an Exchange Economy with Habit Formation (1991)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 1995Uncertain volatility and the risk-free synthesis of derivatives364 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2007G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty143 cited
  • 2008Martingale characterization of G-Brownian motion75 cited

Cited by

  • 2017Theory, methods and meaning of nonlinear expectation theory40 cited
  • 2012Girsanov’s formula for G -Brownian motion34 cited
  • 2018Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation

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26 cited