Dynamic asset pricing theory with uncertain time-horizon (Q956467): Difference between revisions

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+https://doi.org/10.1016/j.jedc.2004.10.002
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+W3125527597
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+Option Pricing When Jump Risk Is Systematic<sup>1</sup>
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+The Pricing of Options and Corporate Liabilities
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+Hazard rate for credit risk and hedging defaultable contingent claims
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+Optimal investment decisions when time-horizon is uncertain
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+An intertemporal asset pricing model with stochastic consumption and investment opportunities
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+Point processes and queues. Martingale dynamics
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+Randomization and the American Put
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+Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time
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+Event risk, contingent claims and the temporal resolution of uncertainty
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+A martingale approach to premium calculation principles in an arbitrage free market
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+On Models of Default Risk
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
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+Semi-martingales et grossissement d'une filtration
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+Lectures on the Mathematics of Finance
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+On optimal portfolio choice under stochastic interest rates
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+Optimum consumption and portfolio rules in a continuous-time model
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+An Intertemporal Capital Asset Pricing Model
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+Option pricing when underlying stock returns are discontinuous
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+Reinsurance in arbitrage-free markets
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Publication:956467