Robust Option Pricing: Hannan and Blackwell Meet Black and Scholes
暂无分享,去创建一个
[1] Kiyohiko G. Nishimura,et al. Dynamic Asset Pricing , 2017 .
[2] Zhenyu Cui,et al. Pricing Timer Options , 2010 .
[3] Roger Lee,et al. Hedging variance options on continuous semimartingales , 2010, Finance Stochastics.
[4] Alvaro Sandroni,et al. Manipulability of Future-Independent Tests , 2008 .
[5] Takashi Hayashi,et al. Regret aversion and opportunity dependence , 2008, J. Econ. Theory.
[6] J. Pakarinen. The Relationship Between Implied and Realized Volatility , 2007 .
[7] Nabil I. Al-Najjar,et al. Comparative Testing of Experts , 2006 .
[8] Eddie Dekel,et al. Non-Bayesian Testing of a Stochastic Prediction , 2006 .
[9] Yishay Mansour,et al. Online trading algorithms and robust option pricing , 2006, STOC '06.
[10] Gábor Lugosi,et al. Prediction, learning, and games , 2006 .
[11] Yisong S. Tian,et al. The Model-Free Implied Volatility and Its Information Content , 2005 .
[12] S. Hart. Adaptive Heuristics , 2005 .
[13] Robust Monopoly Pricing: The Case of Regret , 2005 .
[14] Pascal J. Maenhout. Robust Portfolio Rules and Asset Pricing , 2004 .
[15] Subir Bose,et al. Optimal Auctions with Ambiguity , 2004 .
[16] Bjørn Eraker. Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices , 2004 .
[17] Jinghong Shu,et al. The relationship between implied and realized volatility of S&P 500 index , 2003 .
[18] Nicolas P. B. Bollen,et al. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? , 2002 .
[19] Booncharoen Sirinaovakul,et al. Introduction to the Special Issue , 2002, Comput. Intell..
[20] B. Christensen,et al. New evidence on the implied-realized volatility relation , 2002 .
[21] Jun Pan. The jump-risk premia implicit in options: evidence from an integrated time-series study $ , 2002 .
[22] Christopher J. Neely. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter? , 2002 .
[23] G. Shafer,et al. Probability and Finance: It's Only a Game! , 2001 .
[24] Dimitris Bertsimas,et al. Hedging Derivative Securities and Incomplete Markets: An Formula-Arbitrage Approach , 2001, Oper. Res..
[25] Nicholas G. Polson,et al. The Impact of Jumps in Volatility and Returns , 2000 .
[26] P. Mykland. Conservative delta hedging , 2000 .
[27] Olivier Ledoit,et al. Gain, Loss, and Asset Pricing , 2000, Journal of Political Economy.
[28] Dean P. Foster,et al. A Proof of Calibration Via Blackwell's Approachability Theorem , 1999 .
[29] Dean P. Foster,et al. Regret in the On-Line Decision Problem , 1999 .
[30] Jakša Cvitanić,et al. Super-replication in stochastic volatility models under portfolio constraints , 1999, Journal of Applied Probability.
[31] R. Frey,et al. Bounds on European Option Prices under Stochastic Volatility , 1999 .
[32] Bruce D. Grundy,et al. The Analysis of Deltas , State Prices and VaR : A New Approach , 1999 .
[33] Erik Ordentlich,et al. The Cost of Achieving the Best Portfolio in Hindsight , 1998, Math. Oper. Res..
[34] S. Shreve,et al. Robustness of the Black and Scholes Formula , 1998 .
[35] Jak Sa Cvitani. Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets , 1998 .
[36] Allan Borodin,et al. Online computation and competitive analysis , 1998 .
[37] S. Hart,et al. A simple adaptive procedure leading to correlated equilibrium , 2000 .
[38] Bruce D. Grundy,et al. The Analysis of VAR, Deltas and State Prices: A New Approach , 1996 .
[39] J. Cochrane,et al. Beyond Arbitrage: 'Good Deal' Asset Price Bounds in Incomplete Markets , 1996 .
[40] Erik Ordentlich,et al. Universal portfolios with side information , 1996, IEEE Trans. Inf. Theory.
[41] T. Cover. Universal Portfolios , 1996 .
[42] H. Soner,et al. There is no nontrivial hedging portfolio for option pricing with transaction costs , 1995 .
[43] T. Sargent,et al. Discounted linear exponential quadratic Gaussian control , 1995, IEEE Trans. Autom. Control..
[44] Jakša Cvitanić,et al. On portfolio optimization under "drawdown" constraints , 1994 .
[45] R. Tibshirani,et al. An Introduction to the Bootstrap , 1995 .
[46] D. Page. Theory of learning , 1993 .
[47] Dean P. Foster,et al. A Randomization Rule for Selecting Forecasts , 1993, Oper. Res..
[48] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[49] D. Duffie. Dynamic Asset Pricing Theory , 1992 .
[50] Neil D. Pearson,et al. Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case , 1991 .
[51] I. Gilboa,et al. Maxmin Expected Utility with Non-Unique Prior , 1989 .
[52] A. Lo. Semi-parametric upper bounds for option prices and expected payoffs , 1987 .
[53] H. Leland.. Option Pricing and Replication with Transactions Costs , 1985 .
[54] Robert E. Tarjan,et al. Amortized efficiency of list update and paging rules , 1985, CACM.
[55] Christos H. Papadimitriou,et al. Games against nature , 1985, 24th Annual Symposium on Foundations of Computer Science (sfcs 1983).
[56] S. Ross,et al. Option pricing: A simplified approach☆ , 1979 .
[57] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[58] Thomas M. Cover,et al. Behavior of sequential predictors of binary sequences , 1965 .
[59] M. Sion. On general minimax theorems , 1958 .
[60] D. Blackwell. An analog of the minimax theorem for vector payoffs. , 1956 .
[61] J. Neumann. Zur Theorie der Gesellschaftsspiele , 1928 .
[62] W. Pyle. A Theory of Learning. , 1924 .