SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems
14 references·7 citing·31 second hop
[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems (2001)[Geometric Lévy Process & MEMM] Pricing M…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets (1999)Minimal Entropy Martingale Me…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…The variation of certain speculative prices (1997)The variation of certain spec…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…On Square Integrable Martingales (1967)On Square Integrable Martinga…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Valuing variable annuity guarantees with the multivariate Esscher transform (2011)Valuing variable annuity guar…The representation of American options prices under stochastic volatility and jump-diffusion dynamics (2011)The representation of America…Regime-Switching Risk: To Price or Not to Price? (2011)Regime-Switching Risk: To Pri…Option pricing when the regime-switching risk is priced (2009)Option pricing when the regim…Exchange Options Under Jump-Diffusion Dynamics (2008)Exchange Options Under Jump-D…Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (2007)Risk-neutral and actual defau…The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (2006)The minimal entropy martingal…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The cumulant process and Esscher's change of measure (2002)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Martingales and arbitrage in multiperiod securities markets (1979)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Stochastic integrals in the plane (1975)IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Exponential Hedging and Entropic Penalties (2002)Option pricing and Esscher transform under regime switching (2005)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1967On Square Integrable Martingales617 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
  • 1999Essentials of Stochastic Finance134 cited
  • 1999Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets66 cited

Cited by

  • 2008Exchange Options Under Jump-Diffusion Dynamics48 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2011Valuing variable annuity guarantees with the multivariate Esscher transform42 cited
  • 2007Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model38 cited
  • 2011The representation of American options prices under stochastic volatility and jump-diffusion dynamics28 cited
  • 2011Regime-Switching Risk: To Price or Not to Price?24 cited
  • 2009Option pricing when the regime-switching risk is priced23 cited
  • 2006The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models21 cited