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Hedging American contingent claims with constrained portfolios
16 references·16 citing·29 second hopsampled
Hedging American contingent claims with constrained portfolios (1998)Hedging American contingent claims with c…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Continuous-Time Finance. (1991)Continuous-Time Finance.Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On the Robust Optimal Stopping Problem ∗† (2016)On the Robust Optimal Stoppin…Early option exercise: Never say never (2016)Early option exercise: Never …On the Multidimensional Controller-and-Stopper Games (2013)On the Multidimensional Contr…Investment under ambiguity with the best and worst in mind (2011)Investment under ambiguity wi…Reflected BSDE with a constraint and its applications in an incomplete market (2010)Reflected BSDE with a constra…Dynamic mean–variance portfolio selection with borrowing constraint (2009)Dynamic mean–variance portfol…Martingale approach to stochastic differential games of control and stopping (2008)Martingale approach to stocha…An explicit solution for an optimal stopping/optimal control problem which models an asset sale (2008)An explicit solution for an o…Horizon-unbiased utility functions (2007)Horizon-unbiased utility func…Martingale Approach to Stochastic Control with Discretionary Stopping (2006)Martingale Approach to Stocha…Game approach to the optimal stopping problem† (2005)Game approach to the optimal …Pricing derivatives of American and game type in incomplete markets (2004)Pricing derivatives of Americ…Randomized Stopping Times and American Option Pricing with Transaction Costs (2001)Randomized Stopping Times and…Finite-Fuel Singular Control With Discretionary Stopping (2000)Finite-Fuel Singular Control …Conservative delta hedging (2000)Conservative delta hedgingA Barrier Option of American Type (2000)A Barrier Option of American …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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1994Option pricing: Mathematical models and computation805 cited

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  • 2009Dynamic mean–variance portfolio selection with borrowing constraint111 cited
  • 2004Pricing derivatives of American and game type in incomplete markets77 cited
  • 2007Horizon-unbiased utility functions76 cited
  • 2008Martingale approach to stochastic differential games of control and stopping72 cited
  • 2013On the Multidimensional Controller-and-Stopper Games62 cited
  • 2000A Barrier Option of American Type61 cited
  • 2001Randomized Stopping Times and American Option Pricing with Transaction Costs57 cited
  • 2000Finite-Fuel Singular Control With Discretionary Stopping52 cited
  • 2011Investment under ambiguity with the best and worst in mind48 cited
  • 2000Conservative delta hedging45 cited
  • 2016Early option exercise: Never say never44 cited
  • 2006Martingale Approach to Stochastic Control with Discretionary Stopping42 cited
  • 2010Reflected BSDE with a constraint and its applications in an incomplete market40 cited
  • 2008An explicit solution for an optimal stopping/optimal control problem which models an asset sale37 cited
  • 2016On the Robust Optimal Stopping Problem ∗†35 cited
  • 2005Game approach to the optimal stopping problem†34 cited