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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
16 references·16 citing·30 second hopsampled
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999)Bounds on prices of contingent claims in …Theory of rational option pricing (2005)Theory of rational option pri…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Option pricing with transacti…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Optimal Replication of Options with Transactions Costs and Trading Restrictions (1993)Optimal Replication of Option…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Continuous-Time Finance. (1991)Continuous-Time Finance.Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach (1985)Upper and Lower Bounds of Put…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs (2012)Asymptotic Analysis for Optim…Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007)Stochastic Dominance Bounds o…Large investor trading impacts on volatility (2006)Large investor trading impact…A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (2005)A PDE representation of the d…European option pricing and hedging with both fixed and proportional transaction costs (2004)European option pricing and h…Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (2004)Convergence of a high-order c…Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random (2004)Bounds and Asymptotic Approxi…A valuation algorithm for indifference prices in incomplete markets (2004)A valuation algorithm for ind…Pricing early exercise contracts in incomplete markets (2003)Pricing early exercise contra…Option pricing with transaction costs using a Markov chain approximation (2003)Option pricing with transacti…High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation (2003)High Order Compact Finite Dif…Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs (2002)Stochastic dominance bounds o…Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002)Pricing Dynamic Insurance Ris…Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good (2002)Optimal consumption and inves…Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities (2001)Bounds on Derivative Prices i…Optimal investment and consumption models with non-linear stock dynamics (1999)Optimal investment and consum…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)An Engine, Not a Camera (2006)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)A solution approach to valuation with unhedgeable risks (2001)Deep hedging (2019)Exponential Hedging and Entropic Penalties (2002)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
  • 1989Options Arbitrage in Imperfect Markets177 cited
  • 1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach

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Cited by

  • 2002Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility93 cited
  • 2004A valuation algorithm for indifference prices in incomplete markets92 cited
  • 2002Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs89 cited
  • 2004Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random85 cited
  • 2001Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities82 cited
  • 2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets79 cited
  • 2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation78 cited
  • 2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictions69 cited
  • 2003Option pricing with transaction costs using a Markov chain approximation69 cited
  • 2004European option pricing and hedging with both fixed and proportional transaction costs64 cited
  • 2012Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs60 cited
  • 1999Optimal investment and consumption models with non-linear stock dynamics57 cited
  • 2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
  • 2003Pricing early exercise contracts in incomplete markets51 cited
  • 2006Large investor trading impacts on volatility48 cited
  • 2002Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good45 cited