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A unified framework for robust modelling of financial markets in discrete time
16 references·0 citing·35 second hop
A unified framework for robust modelling of financial markets in discrete time (2021)A unified framework for robust modelling …Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)A MODEL‐FREE VERSION OF THE F…Stochastic Finance (2011)Stochastic FinanceTHE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)A General Version of the Fund…Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Nonlinear Expectations, Nonli…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Probability and Finance: It's Only a Game! (2001)Probability and Finance: It's…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…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…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitThe Variation of Certain Speculative Prices (1963)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The variation of certain speculative prices (1997)American Economic Review (2019)Backward Stochastic Differential Equations in Finance (1997)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Multiperiod security markets with differential information (1986)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Testing Structural Equation Models. (1994)Coherent Measures of Risk (1999)Robustness and sensitivity analysis of risk measurement procedures (2010)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Model risk of risk models (2016)Convex measures of risk and trading constraints (2002)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Toward a knowledge‐based theory of the firm (1996)The Promise of Enterpreneurship as a Field of Research (2000)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Option pricing: A simplified approach (1979)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)Arbitrage Theory in Continuous Time (1998)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1921Risk, Uncertainty and Profit9,967 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2006A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,215 cited
  • 2015Rational Theory of Warrant Pricing536 cited
  • 2011Stochastic Finance424 cited
  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS373 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2001Probability and Finance: It's Only a Game!286 cited
  • 2004Nonlinear Expectations, Nonlinear Evaluations and Risk Measures278 cited
  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2013A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM

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