Cited in
(85)- The impact of warrants introduction: sign effect or magnitude effect?
- Semi-nonparametric approximation and index options
- Markets for financial innovation
- Bounds for the price of discrete arithmetic Asian options
- Spanning with indexes
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
- Pricing rules and Arrow-Debreu ambiguous valuation
- The completion of real-asset markets by options
- Linear and nonlinear price decentralization
- On the neutrality of socially responsible investing: The general equilibrium perspective
- Options and equilibrium
- Put-call parity and market frictions
- Optimal payoffs under smooth ambiguity
- Selecting an optimal portfolio of consumer loans by applying the state preference approach
- Riesz estimators
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Options and efficiency in spaces of bounded claims
- Option spanning with exogenous information structure
- Spanning and completeness in markets with contingent claims
- Efficient funds for meager asset spaces
- The completion of security markets
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- The probability approach to general equilibrium with production
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- Spanning with American options.
- Nonparametric spot volatility from options
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
- Option spanning beyond \(L_p\)-models
- The financial market: not as big as you think
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A model-free approach to multivariate option pricing
- Rational expectations equilibrium and the strategic choice of costly information
- Spanning, valuation and options
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Incomplete markets and derivative assets
- Computational methods for option replication
- Minimum-cost portfolio insurance
- Study on the stability of an artificial stock option market based on bidirectional conduction
- Option pricing via maximization over uncertainty and correction of volatility smile
- Cost-efficient payoffs under model ambiguity
- Nonparametric risk management and implied risk aversion
- A Note on Market Completeness with American Put Options
- Simple market structures are incomplete
- Coordinating Vulnerable Supply Chains with Option Contracts
- Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty
- Modeling and simulation of an artificial stock option market
- The cheapest hedge.
- Can a Machine Correct Option Pricing Models?
- Nonparametric Option Pricing with Generalized Entropic Estimators
- Variance trading and market price of variance risk
- A new representation of the risk-neutral distribution and its applications
- Integrated dynamic models for hedging international portfolio risks
- Equilibrium open interest
- Integrated portfolio management with options
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- Endogenous uncertainty in a general equilibrium model with price contingent contracts
- Futures markets and commodity options: Hedging and optimality in incomplete markets
- Estimation of risk-neutral densities using positive convolution approximation
- A note on spanning with options
- Capital market equilibrium with moral hazard
- An introduction to general equilibrium with incomplete asset markets
- Maximal submarkets that replicate any option
- Exchangeability-type properties of asset prices
- DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
- Multiasset derivatives and joint distributions of asset prices
- Non-existence and inefficiency of equilibria with American options
- On the non-existence of redundant options
- Structural stability of market models
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
- THE ENTROPY THEORY OF BOND OPTION PRICING
- Pension plan funding, technology choice, and the equity risk premium
- Event-day options
- A simple realized factor-based portfolio: improving minimum variance portfolio performance by incorporating low-frequency betas
- Optimal strategies in equity securities and derivatives
- Markets that don't replicate any option.
- The effects of newly listed derivatives in a thin stock market
- Equilibria with options: Existence and indeterminacy
- Rearrangement algorithm and maximum entropy
- Smallest order closed sublattices and option spanning
- Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
- Implied value-at-risk and model-free simulation
- Existence of competitive equilibria for option markets
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