On the implied market price of risk under the stochastic numéraire (Q1648909): Difference between revisions

@@ Property / DOI @@
-.1007/s10436-017-0315-y
@@ Property / DOI: 10.1007/s10436-017-0315-y / rank @@
-Normal rank
@@ Property / author @@
-Nikolai G. Dokuchaev
@@ Property / author: Nikolai G. Dokuchaev / rank @@
-Normal rank
@@ Property / author @@
+Nikolai G. Dokuchaev
@@ Property / author: Nikolai G. Dokuchaev / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2772966469
@@ Property / OpenAlex ID: W2772966469 / rank @@
+Normal rank
@@ Property / cites work @@
+The numeraire portfolio for unbounded semimartingale
+Normal rank
@@ Property / cites work @@
+Local risk minimization and numéraire
@@ Property / cites work: Local risk minimization and numéraire / rank @@
+Normal rank
@@ Property / cites work @@
+Q4657105
@@ Property / cites work: Q4657105 / rank @@
+Normal rank
@@ Property / cites work @@
+The Role of Learning in Dynamic Portfolio Decisions *
+Normal rank
@@ Property / cites work @@
+On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
+Normal rank
@@ Property / cites work @@
+Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
+Normal rank
@@ Property / cites work @@
+OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
+Normal rank
@@ Property / cites work @@
+Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Numéraire-invariant preferences in financial modeling
+Normal rank
@@ Property / cites work @@
+Pricing options under stochastic interest rates: a new approach
+Normal rank
@@ Property / cites work @@
+Q3910361
@@ Property / cites work: Q3910361 / rank @@
+Normal rank
@@ Property / cites work @@
+Negative call prices
@@ Property / cites work: Negative call prices / rank @@
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3561030
@@ Property / cites work: Q3561030 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Asian options in a semimartingale model
@@ Property / cites work: Pricing Asian options in a semimartingale model / rank @@
+Normal rank
@@ Property / cites work @@
+Capital market equilibrium without riskless assets: heterogeneous expectations
+Normal rank
@@ Property / DOI @@
+.1007/S10436-017-0315-Y
@@ Property / DOI: 10.1007/S10436-017-0315-Y / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1648909