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WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
12 references·0 citing·34 second hop
WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)WIENER CHAOS: A NEW APPROACH TO OPTION HE…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …European Option Pricing with Transaction Costs (1993)European Option Pricing with …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities (1989)Integration by Parts, Homogen…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)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)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Option pricing: A simplified approach (1979)Continuous-Time Finance. (1991)There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)A solution approach to valuation with unhedgeable risks (2001)Deep hedging (2019)
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
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 1989Integration by Parts, Homogeneous Chaos Expansions and Smooth Densities34 cited

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