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On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
16 references·0 citing·41 second hop
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (2008)On the Esscher transforms and other equiv…Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Option Pricing, Interest Rates and Risk Management (2001)Option Pricing, Interest Rate…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Modelling by Lévy Processes for Financial Econometrics (2001)Modelling by Lévy Processes f…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Limit Theorems for Stochastic Processes (1987)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)A complete explicit solution to the log-optimal portfolio problem (2003)Variance-optimal hedging for processes with stationary independent increments (2006)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Theory of Rational Option Pricing (1973)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)A General Formula for Valuing Defaultable Securities (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Exponential Hedging and Entropic Penalties (2002)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
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  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
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  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited

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  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited
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