Claim pricing and hedging under market incompleteness and "mean-variance" preferences
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- Schweizer, Martin, 1993. "Approximating Random Variables by Stochastic Integrals," Discussion Paper Serie B 262, University of Bonn, Germany.
- Fabio Mercurio & Ton Vorst, 1996. "Option pricing with hedging at fixed trading dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 135-158.
- Runggaldier, Wolfgang J. & Martin Schweizer, 1995. "Convergence of Option Values under Incompleteness," Discussion Paper Serie B 333, University of Bonn, Germany.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-1074, September.
- Ho, Thomas & Stoll, Hans R., 1981.
"Optimal dealer pricing under transactions and return uncertainty,"
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Elsevier, vol. 9(1), pages 47-73, March.
- Thomas Ho & Hans Stoll, "undated". "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
- (*), Thaleia Zariphopoulou & George M. Constantinides, 1999. "Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences," Finance and Stochastics, Springer, vol. 3(3), pages 345-369.
- George M. Constantinides & Thaleia Zariphopoulou, "undated". "Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences," CRSP working papers 347, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Martin Schweizer, 1994. "Risk-Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Bouleau, Nicolas & Lamberton, Damien, 1989. "Residual risks and hedging strategies in Markovian markets," Stochastic Processes and their Applications, Elsevier, vol. 33(1), pages 131-150, October.
- Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
- Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198. Full references (including those not matched with items on IDEAS)
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