Asset pricing for general processes
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Cites work
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 3564029 (Why is no real title available?)
- scientific article; zbMATH DE number 3582778 (Why is no real title available?)
- A non-standard representation for Brownian motion and Ito integration
- An Intertemporal Capital Asset Pricing Model
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Arbitrage and equilibrium in economies with infinitely many commodities
- Asset Pricing in Multiperiod Securities Markets
- Extension of Fenchel's duality theorem for convex functions
- Information structures and viable price systems
- MARKET EQUILIBRIUM
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On the fundamental theorem of asset pricing with an infinite state space
- Optimum consumption and portfolio rules in a continuous-time model
- Point processes and queues. Martingale dynamics
- Risk measurement in semimartingale models with multiple consumption goods
Cited in
(51)- Nonparametric estimation of quadratic variation using high-frequency data
- Actuarial bridges to dynamic hedging and option pricing
- Option Pricing When Jump Risk Is Systematic1
- Positive alphas, abnormal performance, and illusory arbitrage
- Continuous-time security pricing. A utility gradient approach
- Correlation and the pricing of risks
- Yan theorem in \(L^{\infty}\) with applications to asset pricing
- Large-dimensional factor modeling based on high-frequency observations
- Asset pricing theory for two price economies
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Monitoring disruptions in financial markets
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Viable prices in financial markets with solvency constraints
- Effects of intervaling on high-frequency realized higher-order moments
- Heterogeneous information arrival and option pricing
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Equilibrium with new investment opportunities
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- High-frequency returns, jumps and the mixture of normals hypothesis
- Labor income, borrowing constraints, and equilibrium asset prices
- Stochastic string models with continuous semimartingales
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- scientific article; zbMATH DE number 1594549 (Why is no real title available?)
- Structured products equilibria in conic two price markets
- New evidence on the relation between return volatility and trading volume
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
- Econometric analysis of high frequency data
- Martingale densities for general asset prices
- Semi- and nonparametric ARCH processes
- Positive alphas and a generalized multiple-factor asset pricing model
- Realised quantile-based estimation of the integrated variance
- Causality effects in return volatility measures with random times
- IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS
- A GMM approach to estimate the roughness of stochastic volatility
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Explicit characterizations of financial prices with history-dependent utility
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Inference from high-frequency data: a subsampling approach
- Dividends in the theory of derivative securities pricing
- Value preserving portfolio strategies in continuous-time models
- Optimal consumption choice with intolerance for declining standard of living
- No Arbitrage and the Growth Optimal Portfolio
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Option Pricing With V. G. Martingale Components1
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Forecasting and trading high frequency volatility on large indices
- Forecasting volatility with time-varying coefficient regressions
- SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
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