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A GENERAL EQUILIBRIUM ANALYSIS OF OPTION AND STOCK MARKET INTERACTIONS.
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- International Economic Review, 1991, v. 32, n. 2, p. 279, doi. 10.2307/2526876
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- Article
Dynamic Noisy Rational Expectations Equilibrium With Insider Information.
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- Econometrica, 2020, v. 88, n. 6, p. 2697, doi. 10.3982/ECTA17038
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- Article
Portfolio Selection: A Review.
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- Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 1, doi. 10.1007/s10957-012-0208-1
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- Article
ASSET PRICES IN AN EXCHANGE ECONOMY WITH HABIT FORMATION.
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- Econometrica, 1991, v. 59, n. 6, p. 1633, doi. 10.2307/2938283
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- Article
An optimal stopping problem with a reward constraint.
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- Finance & Stochastics, 2012, v. 16, n. 3, p. 423, doi. 10.1007/s00780-012-0173-4
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- Article
Representation formulas for Malliavin derivatives of diffusion processes.
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- Finance & Stochastics, 2005, v. 9, n. 3, p. 349, doi. 10.1007/s00780-004-0151-6
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- Article
Aggregation, efficiency and mutual fund separation in incomplete markets.
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- Economic Theory, 1998, v. 11, n. 2, p. 443, doi. 10.1007/s001990050196
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- Article
Optimal Power Investment and Pandemics: A Micro-Economic Analysis.
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- Energies (19961073), 2021, v. 14, n. 4, p. 814, doi. 10.3390/en14040814
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- Article
Financial Innovation, Values and Volatilities when Markets Are Incomplete.
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- GENEVA Papers on Risk & Insurance - Theory, 1990, v. 15, n. 1, p. 47, doi. 10.1007/BF01498459
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- Article
Asymptotic Properties of Monte Carlo Estimators of Derivatives.
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- Management Science, 2005, v. 51, n. 11, p. 1657, doi. 10.1287/mnsc.1050.0398
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- Article
Option Pricing: Valuation Models and Applications.
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- Management Science, 2004, v. 50, n. 9, p. 1145, doi. 10.1287/mnsc.1040.0275
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- Article
The Valuation of American Options for a Class of Diffusion Processes.
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- Management Science, 2002, v. 48, n. 7, p. 917, doi. 10.1287/mnsc.48.7.917.2815
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- Article
A Monte Carlo Method for Optimal Portfolios.
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- Journal of Finance (Wiley-Blackwell), 2003, v. 58, n. 1, p. 401, doi. 10.1111/1540-6261.00529
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- Article
On the Optimal Hedge of a Nontraded Cash Position.
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- Journal of Finance (Wiley-Blackwell), 1988, v. 43, n. 1, p. 143, doi. 10.1111/j.1540-6261.1988.tb02594.x
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- Article
Asset Pricing in a Production Economy with Incomplete Information.
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- Journal of Finance (Wiley-Blackwell), 1986, v. 41, n. 2, p. 383, doi. 10.1111/j.1540-6261.1986.tb05043.x
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- Article
The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage.
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- Review of Financial Studies, 2020, v. 33, n. 7, p. 3307, doi. 10.1093/rfs/hhz097
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- Article
A Structural Model of Dynamic Market Timing.
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- Review of Financial Studies, 2013, v. 26, n. 10, p. 2492, doi. 10.1093/rfs/hht028
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- Article
Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications.
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- Review of Financial Studies, 2010, v. 23, n. 1, p. 25, doi. 10.1093/rfs/hhp040
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- Article
Dynamic Equilibrium with Liquidity Constraints.
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- Review of Financial Studies, 2003, v. 16, n. 2, p. 597, doi. 10.1093/rfs/hhg003
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- Article
Nontraded asset valuation with portfolio constraints: a binomial approach.
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- Review of Financial Studies, 1999, v. 12, n. 4
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- Article
American option valuation: new bounds, approximations, and a comparison of existing methods.
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- Review of Financial Studies, 1996, v. 9, n. 4, doi. 10.1093/rfs/9.4.1211
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- Article
On American VIX options under the generalized 3/2 and 1/2 models.
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- Mathematical Finance, 2018, v. 28, n. 2, p. 550, doi. 10.1111/mafi.12153
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- Article
CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS.
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- Mathematical Finance, 2005, v. 15, n. 4, p. 539, doi. 10.1111/j.1467-9965.2005.00250.x
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- Article
THE VALUATION OF AMERICAN OPTIONS ON MULTIPLE ASSETS.
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- Mathematical Finance, 1997, v. 7, n. 3, p. 241, doi. 10.1111/1467-9965.00032
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- Article
Optimal Investment under Cost Uncertainty.
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- Risks, 2018, v. 6, n. 1, p. 5, doi. 10.3390/risks6010005
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- Article
Hedging with Futures in an Intertemporal Portfolio Context.
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- Journal of Futures Markets, 1988, v. 8, n. 3, p. 249, doi. 10.1002/fut.3990080302
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- Article
The Valuation of Volatility Options.
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- European Finance Review, 2000, v. 4, n. 1, p. 21, doi. 10.1023/A:1009814324980
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- Article
Asset Prices and Pandemics: The Effects of Lockdowns.
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- Quarterly Journal of Finance, 2022, v. 12, n. 1, p. 1, doi. 10.1142/S201013922240002X
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- Article