Discretely sampled variance and volatility swaps versus their continuous approximations

Limit Theorems for Stochastic Processes.

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Engineering, Mathematics, Financial Economics +16

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations

Business, Economics, Finance +13

The fundamental theorem of asset pricing for unbounded stochastic processes

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1998 · 739 citations

Engineering, Economics, Finance +16

Moment explosions in stochastic volatility models

Leif B. G. Andersen, Vladimir Piterbarg · Finance and Stochastics · 2006 · 414 citations

Business, Finance, Mathematics +12

Local martingales, bubbles and option prices

Alexander M. G. Cox, David Hobson · Finance and Stochastics · 2005 · 255 citations

Engineering, Economics, Finance +14