Valuation of Options in Incomplete Markets
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Park, Byungwook (This work was supported by the faculty research fund of Konkuk University) |
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Hedging of Contingent Claims under Incomplete Information
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Mean-Variance Hedging in Continuous Time
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DOI ScienceOn |
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European Option Pricing with Transaction Costs
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DOI ScienceOn |
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The Jump-risk Premia Implicit in Options : Evidence from an Integrated Time-series Study
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DOI ScienceOn |
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The Pricing of Options and Corporate Liabilities
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DOI ScienceOn |
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Dynamic programming and Pricing of Contingent Claims in an Incomplete Market
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DOI ScienceOn |
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Martingales and Stochastic Integrals in the Theory of Continuous Trading
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DOI ScienceOn |
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Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model
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DOI ScienceOn |
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On Quadratic Cost Criteria for Option Hedging
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DOI ScienceOn |
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Approximation Pricing and the Variance-optimal Martingale Measure
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DOI |
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American Options and Transaction Fees
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DOI |
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Option Pricing when the Underlying Stock Returns are Discontinuous
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Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and general Preferences
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DOI ScienceOn |
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Methodes numeriques pour le calcul des options americaine dans modeles de diffusion avec sauts
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Stochastic Calculus Model of Continuous Trading : Complete Markets
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DOI ScienceOn |
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Optimal Investment and Consumption Models with Non-linear Stock Dynamics
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DOI ScienceOn |
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Variance-optimal Hedging in Discerte-time
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DOI ScienceOn |
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Hedging of Nonredundant Contingent Clamis
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General Equilibrium Pricing of Options on the Market Porfolio with Discontinuous Returns
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DOI ScienceOn |
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Pricing and Hedging Derivvative Securities in Incomplete Markets
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DOI ScienceOn |
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Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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DOI ScienceOn |
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Optimal Hedging and Equilibrium in a Dynamic Futures Market
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DOI ScienceOn |
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Option Hedging for Semimartingales
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DOI ScienceOn |
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Discontinuous Asset Prices and Non-Attainable Contingent Claims
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DOI |
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