Pricing and hedging European options with discrete-time coherent risk
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Volume (Year): 11 (2007)
Issue (Month): 4 (October)
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- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Geman, Hélyette & Madan, Dilip B., 2004. "Pricing in incomplete markets : from absence of good deals to acceptable risk," Economics Papers from University Paris Dauphine 123456789/1063, Paris Dauphine University.
- Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
- 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.
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