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PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
16 references·3 citing·32 second hop
PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (2010)PRICING AND HEDGING OF DERIVATIVES BASED …The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…Utility maximization in incomplete markets (2005)Utility maximization in incom…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms (2004)Stochastic Differential Equat…An example of indifference prices under exponential preferences (2004)An example of indifference pr…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Real options with constant relative risk aversion (2002)Real options with constant re…Pricing weather derivatives by marginal value (2001)Pricing weather derivatives b…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Stochastic Flows and Stochastic Differential Equations (1998)Stochastic Flows and Stochast…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Crypto quanto and inverse options (2023)Crypto quanto and inverse opt…Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE (2017)Representation of Homothetic …Results on Numerics for FBSDE with Drivers of Quadratic Growth (2010)Results on Numerics for FBSDE…Adapted solution of a backward stochastic differential equation (1990)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)BSDE with quadratic growth and unbounded terminal value (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Inf-convolution of risk measures and optimal risk transfer (2005)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Exponential Hedging and Entropic Penalties (2002)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)An Overview of Value at Risk (1997)Pricing the risks of default (1998)Robustness of the Black and Scholes Formula (1998)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Differential equations driven by Gaussian signals (2010)The Master Equation for Large Population Equilibriums (2014)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1998Stochastic Flows and Stochastic Differential Equations1,182 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)525 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Pricing weather derivatives by marginal value214 cited
  • 2004Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms184 cited
  • 2002Real options with constant relative risk aversion151 cited

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2006
Optimal Hedging with Basis Risk
103 cited

Cited by

  • 2017Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE32 cited
  • 2023Crypto quanto and inverse options26 cited
  • 2010Results on Numerics for FBSDE with Drivers of Quadratic Growth24 cited