Event risk, contingent claims and the temporal resolution of uncertainty (Q2257042): Difference between revisions

@@ Property / DOI @@
-.1007/s11579-013-0107-8
@@ Property / DOI: 10.1007/s11579-013-0107-8 / rank @@
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@@ Property / author @@
-Pierre Collin Dufresne
@@ Property / author: Pierre Collin Dufresne / rank @@
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@@ Property / author @@
+Pierre Collin Dufresne
@@ Property / author: Pierre Collin Dufresne / rank @@
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+MaRDI publication profile
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+W2151376067
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@@ Property / cites work @@
+Pricing and hedging in the presence of extraneous risks
+Normal rank
@@ Property / cites work @@
+Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
+Normal rank
@@ Property / cites work @@
+Hedging contingent claims with constrained portfolios
+Normal rank
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+Utility maximization in incomplete markets with random endowment
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+The writing price of a European contingent claim under proportional transaction costs
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+European Option Pricing with Transaction Costs
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+Exponential Hedging and Entropic Penalties
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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+Q3613975
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+Optimal investment with random endowments in incomplete markets.
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+DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
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+On the pricing of contingent claims under constraints
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ Property / DOI @@
+.1007/S11579-013-0107-8
@@ Property / DOI: 10.1007/S11579-013-0107-8 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2257042