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Citations for "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets"

by Kramkov, D.O.

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  1. Simone Scotti, 2012. "Asset Pricing under uncertainty," Papers 1203.5664, arXiv.org.
  2. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
  3. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
  4. Neil Shephard & Ole E. Barndorff-Nielsen, 2001. "Some recent developments in stochastic volatility modelling," Economics Series Working Papers 2001-W25, University of Oxford, Department of Economics.
  5. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005.
  6. Matos, Joao Amaro de & Lacerda, Ana, 2004. "Dry Markets and Superreplication Bounds of American Derivatives," FEUNL Working Paper Series wp461, Universidade Nova de Lisboa, Faculdade de Economia.
  7. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  8. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
  9. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Risks, MDPI, Open Access Journal, vol. 1(3), pages 119-147, November.
  10. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  11. Nicole El Karoui & Asma Meziou, 2008. "Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance," Papers 0804.2561, arXiv.org.
  12. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 19 Nov 2002.
  13. Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
  14. Tahir Choulli & Jun Deng & Junfeng Ma, 2012. "How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related," Papers 1211.4598, arXiv.org, revised Jun 2014.
  15. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
  16. Mania, M., 2000. "A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 19-42, November.
  17. Xiang Yu, 2011. "Utility Maximization with Addictive Consumption Habit Formation in Incomplete Semimartingale Markets," Papers 1112.2940, arXiv.org, revised Apr 2014.
  18. Sara Biagini & Marco Frittelli, 2005. "On the super replication price of unbounded claims," Papers math/0503550, arXiv.org.
  19. Wei Chen, 2013. "G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty," Papers 1401.0677, arXiv.org.
  20. Föllmer, Hans & Kabanov, Jurij M., 1997. "Optional decomposition and lagrange multipliers," SFB 373 Discussion Papers 1997,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  21. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  22. Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
  23. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
  24. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  25. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  26. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  27. Long Nguyen-Thanh, 2003. "Investment Optimization under Constraints," Finance 0301005, EconWPA, revised 10 Jan 2003.
  28. Bellamy, Nadine, 2001. "Wealth optimization in an incomplete market driven by a jump-diffusion process," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 259-287, April.