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The Robust Superreplication Problem: A Dynamic Approach
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The Robust Superreplication Problem: A Dynamic Approach (2019)The Robust Superreplication Problem: A Dy…Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…THE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…Theory of rational option pricing (2005)Theory of rational option pri…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…Optional decompositions under constraints (1997)Optional decompositions under…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Option pricing: A simplified approach (1979)Option pricing: A simplified …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …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…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitEFFICIENT 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)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1995Uncertain volatility and the risk-free synthesis of derivatives364 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 1998Robust hedging of the lookback option279 cited
  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 1997Optional decompositions under constraints220 cited
  • 2006THE RANGE OF TRADED OPTION PRICES

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