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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. repec:dau:papers:123456789/5374 is not listed on IDEAS
  2. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
  3. Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
  4. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Papers 1308.2324, arXiv.org.
  5. 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.
  6. Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
  7. H. Föllmer & Y.M. Kabanov, 1997. "Optional decomposition and Lagrange multipliers," Finance and Stochastics, Springer, vol. 2(1), pages 69-81.
  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. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
  10. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
  11. 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.
  12. 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.
  13. Micha{\l} Barski, 2015. "Asymptotic pricing in large financial markets," Papers 1512.06582, arXiv.org.
  14. Nicholas Gonchar, 2016. "Generalization of Doob decomposition Theorem," Papers 1601.03574, arXiv.org.
  15. RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
  16. Alexander Chigodaev, 2016. "Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach," HSE Working papers WP BRP 53/FE/2016, National Research University Higher School of Economics.
  17. 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.
  18. Simone Scotti, 2012. "Asset Pricing under uncertainty," Papers 1203.5664, arXiv.org.
  19. Kasper Larsen & Halil Soner & Gordan Žitković, 2016. "Facelifting in utility maximization," Finance and Stochastics, Springer, vol. 20(1), pages 99-121, January.
  20. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  21. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18.
  22. 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.
  23. 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.
  24. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  25. Nguyen-Thanh Long, 2004. "Investment optimization under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(2), pages 175-201, October.
  26. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  27. 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.
  28. Xiang Yu, 2011. "Utility maximization with addictive consumption habit formation in incomplete semimartingale markets," Papers 1112.2940, arXiv.org, revised May 2015.
  29. Kasper Larsen & H. Mete Soner & Gordan Zitkovic, 2014. "Facelifting in Utility Maximization," Papers 1404.2227, arXiv.org.
  30. Marcel Nutz, 2014. "Robust Superhedging with Jumps and Diffusion," Papers 1407.1674, arXiv.org, revised Jul 2015.
  31. Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum with respect to a random partial order," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 478-487.
  32. Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116.
  33. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
  34. 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.
  35. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005.
  36. 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.
  37. Peter Bank & Selim Gökay, 2016. "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, vol. 20(1), pages 153-182, January.
  38. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 19 Nov 2002.
  39. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  40. 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.
  41. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Jan 2016.
  42. Dylan Possama\"i & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org.
  43. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  44. 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.
  45. Sara Biagini & Marco Frittelli, 2005. "On the super replication price of unbounded claims," Papers math/0503550, arXiv.org.
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