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

From MaRDI portal
Added link to MaRDI item.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.jedc.2004.10.002 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jedc.2004.10.002 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3125527597 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing When Jump Risk Is Systematic<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hazard rate for credit risk and hedging defaultable contingent claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment decisions when time-horizon is uncertain / rank
 
Normal rank
Property / cites work
 
Property / cites work: An intertemporal asset pricing model with stochastic consumption and investment opportunities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point processes and queues. Martingale dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Randomization and the American Put / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Event risk, contingent claims and the temporal resolution of uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: A martingale approach to premium calculation principles in an arbitrage free market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5658888 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957682 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Term Structures of Credit Spreads with Incomplete Accounting Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive valuation of defaultable securities and the timing of resolution of uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Models of Default Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Entrepreneurial Decisions in a Completely Stochastic Environment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-martingales et grossissement d'une filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lectures on the Mathematics of Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4936390 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218389 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On optimal portfolio choice under stochastic interest rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing the risks of default / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3862174 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Intertemporal Capital Asset Pricing Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reinsurance in arbitrage-free markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: There is no nontrivial hedging portfolio for option pricing with transaction costs / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.JEDC.2004.10.002 / rank
 
Normal rank

Latest revision as of 09:49, 10 December 2024

scientific article
Language Label Description Also known as
English
Dynamic asset pricing theory with uncertain time-horizon
scientific article

    Statements

    Dynamic asset pricing theory with uncertain time-horizon (English)
    0 references
    25 November 2008
    0 references
    asset pricing
    0 references
    uncertain time-horizon
    0 references
    random time
    0 references
    incomplete markets
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references