Dynamic asset pricing theory with uncertain time-horizon
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Cites work
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- A martingale approach to premium calculation principles in an arbitrage free market
- An Intertemporal Capital Asset Pricing Model
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Event risk, contingent claims and the temporal resolution of uncertainty
- Hazard rate for credit risk and hedging defaultable contingent claims
- Lectures on the Mathematics of Finance
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- On models of default risk.
- On optimal portfolio choice under stochastic interest rates
- Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- Optimal investment decisions when time-horizon is uncertain
- Optimum consumption and portfolio rules in a continuous-time model
- Option Pricing When Jump Risk Is Systematic1
- Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time
- Option pricing when underlying stock returns are discontinuous
- Point processes and queues. Martingale dynamics
- Pricing the risks of default
- Randomization and the American put
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Reinsurance in arbitrage-free markets
- Semi-martingales et grossissement d'une filtration
- Term Structures of Credit Spreads with Incomplete Accounting Information
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The pricing of options and corporate liabilities
- There is no nontrivial hedging portfolio for option pricing with transaction costs
Cited in
(21)- American perpetual options with random start
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- The role of non-convex costs in firms' investment and financial dynamics
- Systematic equity-based credit risk: A CEV model with jump to default
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
- The worst case for real options
- Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
- Optimal investment decisions when time-horizon is uncertain
- Portfolio optimization with uncertain exit time in infinite-time horizon
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- Non-concave expected utility optimization with uncertain time horizon
- Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
- Indifference valuation of mortgage-backed securities in the presence of prepayment risk
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Dynamic asset pricing with non-redundant forwards
- Mean–variance hedging of contingent claims with random maturity
- Discrete analysis of portfolio selection with optimal stopping time
- Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
- Minimal Hellinger martingale measures of order \(q\)
- EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
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