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Rational Hedging and Valuation with Utility-Based Preferences
16 references·9 citing·23 second hop
Rational Hedging and Valuation with Utility-Based Preferences (2001)Rational Hedging and Valuation with Utili…Theory of games and economic behavior (2019)Theory of games and economic …Stochastic differential equations and applications (2008)Stochastic differential equat…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Continuous-Time Finance. (1991)Continuous-Time Finance.Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Point Processes and Queues (1981)Point Processes and QueuesMartingales 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 VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (2013)EUROPEAN OPTION PRICING WITH …Accounting for risk aversion in derivatives purchase timing (2012)Accounting for risk aversion …An example of a stochastic equilibrium with incomplete markets (2011)An example of a stochastic eq…ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS (2010)ON AGENT’S AGREEMENT AND PART…Indifference Pricing and Hedging for Volatility Derivatives (2007)Indifference Pricing and Hedg…The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (2006)The minimal entropy martingal…OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (2006)OPTIMAL STATIC–DYNAMIC HEDGES…MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE (2006)MORE ON MINIMAL ENTROPY–HELLI…Utility–indifference hedging and valuation via reaction–diffusion systems (2004)Utility–indifference hedging …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal Capital Asset Pricing Model (1973)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Option pricing when underlying stock returns are discontinuous (1976)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1981Point Processes and Queues1,652 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2008

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A General Version of the Fundamental Theorem of Asset Pricing (1994)
1,568 cited

Cited by

  • 2006OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS42 cited
  • 2004Utility–indifference hedging and valuation via reaction–diffusion systems42 cited
  • 2013EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS36 cited
  • 2011An example of a stochastic equilibrium with incomplete markets33 cited
  • 2007Indifference Pricing and Hedging for Volatility Derivatives29 cited
  • 2006MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE29 cited
  • 2012Accounting for risk aversion in derivatives purchase timing23 cited
  • 2010ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS21 cited
  • 2006The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models21 cited