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Actuarial bridges to dynamic hedging and option pricing

  • Gerber, Hans U.
  • Shiu, Elias S. W.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3VWTCGP-2/2/ecc0e0fec989132203f2908537e68f56
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 18 (1996)
    Issue (Month): 3 (November)
    Pages: 183-218

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    Handle: RePEc:eee:insuma:v:18:y:1996:i:3:p:183-218
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    2. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    3. 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 637-54, May-June.
    4. repec:fth:inseep:9514 is not listed on IDEAS
    5. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
    6. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
    7. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-47, July.
    8. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
    9. Bick, Avi, 1987. "On the Consistency of the Black-Scholes Model with a General Equilibrium Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 259-275, September.
    10. Freddy Delbaen, 1992. "Representing Martingale Measures When Asset Prices Are Continuous And Bounded," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 107-130.
    11. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
    12. Gerber, Hans U. & Shiu, Elias S. W., 1994. "From perpetual strangles to Russian options," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 121-126, December.
    13. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    14. Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-91.
    15. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 371-395.
    16. Jouini, Elyès & Kallal, Hedi, 1995. "Arbitrage in securities markets with short-sales constraints," Economics Papers from University Paris Dauphine 123456789/5647, Paris Dauphine University.
    17. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
    18. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    19. Stapleton, R C & Subrahmanyam, M G, 1990. "Risk Aversion and the Intertemporal Behavior of Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 677-93.
    20. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18.
    21. Freddy Delbaen & Walter Schachermayer, 1994. "Arbitrage And Free Lunch With Bounded Risk For Unbounded Continuous Processes," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 343-348.
    22. Philippe Artzner & David Heath, 1995. "Approximate Completeness With Multiple Martingale Measures," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 1-11.
    23. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55.
    24. Bick, Avi, 1990. " On Viable Diffusion Price Processes of the Market Portfolio," Journal of Finance, American Finance Association, vol. 45(2), pages 673-89, June.
    25. Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 303-322.
    26. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
    27. Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
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