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APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES
14 references·1 citing·32 second hop
APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES (1995)APPROXIMATE COMPLETENESS WITH MULTIPLE MA…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON (1994)MARTINGALE MEASURES FOR DISCR…REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED (1992)REPRESENTING MARTINGALE MEASU…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Prices in Financial Markets. (1991)Prices in Financial Markets.A Characterization of Complete Security Markets On A Brownian Filtration1 (1991)A Characterization of Complet…Arbitrage et lois de martingale (1990)Arbitrage et lois de martinga…Spanning and Completeness with Options (1988)Spanning and Completeness wit…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…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…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales (1977)�tude des solutions extr�male…Modeling the term structure of interest rates: A new approach (2003)Modeling the term structure o…The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Utility Functions (1998)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)Continuous Martingales and Brownian Motion (1991)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Local martingales, arbitrage, and viability (2000)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Calcul Stochastique et Problèmes de Martingales (1979)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)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Asset Pricing in Economies with Frictions (1996)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION (1994)Follmer-Schweizer Decomposition and Mean-Variance Hedging for General Claims (1995)Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model (1995)
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References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1992REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED201 cited
  • 1994MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON201 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1990Arbitrage et lois de martingale116 cited
  • 1977�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales100 cited
  • 1988Spanning and Completeness with Options96 cited
  • 1991Prices in Financial Markets.70 cited
  • 1991A Characterization of Complete Security Markets On A Brownian Filtration159 cited

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  • 2003Modeling the term structure of interest rates: A new approach

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31 cited