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Bounds on option prices for semimartingale market models
14 references·3 citing·38 second hop
Bounds on option prices for semimartingale market models (2001)Bounds on option prices for semimartingal…Incompleteness of markets driven by a mixed diffusion (2000)Incompleteness of markets dri…ESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Bounds on European Option Prices under Stochastic Volatility (1999)Bounds on European Option Pri…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Optional decomposition and Lagrange multipliers (1997)Optional decomposition and La…On the range of options prices (1997)On the range of options pricesOptional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Theory of Martingales (1989)Theory of MartingalesConvergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Financial Markets (1985)Financial MarketsStochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Comparison of semimartingales and Lévy processes (2007)Comparison of semimartingales…Stochastic orders in dynamic reinsurance markets (2004)Stochastic orders in dynamic …Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities (2004)Efficient Hedging When Asset …Calcul d'ito sans probabilites (1981)Limit Theorems for Stochastic Processes (1987)Likelihood inference for a nonstationary fractional autoregressive model (2010)Limit theorems for nearly unstable Hawkes processes (2015)The microstructural foundations of leverage effect and rough volatility (2018)A general version of the fundamental theorem of asset pricing (1994)Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)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)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The Pricing of Options and Corporate Liabilities (1973)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options on Assets with Stochastic Volatilities (1987)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Dynamical pricing of weather derivatives (2002)The cumulant process and Esscher's change of measure (2002)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)The value effects of bank mergers and acquisitions (1998)War and the World Economy (2006)The Synthetic Situation: Interactionism for a Global World (2009)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1989Theory of Martingales956 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 1985Financial Markets254 cited
  • 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod192 cited
  • 1997Optional decomposition and Lagrange multipliers149 cited
  • 1997On the range of options prices149 cited
  • 2000Incompleteness of markets driven by a mixed diffusion96 cited
  • 1999Bounds on European Option Prices under Stochastic Volatility84 cited

Cited by

  • 2007Comparison of semimartingales and Lévy processes33 cited

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2004
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
33 cited
  • 2004Stochastic orders in dynamic reinsurance markets26 cited