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

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2004.10.002
+Normal rank
@@ Property / OpenAlex ID @@
+W3125527597
@@ Property / OpenAlex ID: W3125527597 / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing When Jump Risk Is Systematic<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Hazard rate for credit risk and hedging defaultable contingent claims
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions when time-horizon is uncertain
+Normal rank
@@ Property / cites work @@
+An intertemporal asset pricing model with stochastic consumption and investment opportunities
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time
+Normal rank
@@ Property / cites work @@
+Event risk, contingent claims and the temporal resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+A martingale approach to premium calculation principles in an arbitrage free market
+Normal rank
@@ Property / cites work @@
+Q5658888
@@ Property / cites work: Q5658888 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3957682
@@ Property / cites work: Q3957682 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+On Models of Default Risk
@@ Property / cites work: On Models of Default Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
+Normal rank
@@ Property / cites work @@
+Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
+Normal rank
@@ Property / cites work @@
+Semi-martingales et grossissement d'une filtration
+Normal rank
@@ Property / cites work @@
+Lectures on the Mathematics of Finance
@@ Property / cites work: Lectures on the Mathematics of Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4218389
@@ Property / cites work: Q4218389 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal portfolio choice under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
+Normal rank
@@ Property / cites work @@
+Q3862174
@@ Property / cites work: Q3862174 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Reinsurance in arbitrage-free markets
@@ Property / cites work: Reinsurance in arbitrage-free markets / rank @@
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank