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most citedA Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model

2 citations · 2 across the 3 of their papers we have counts for

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cond-mat2003

Option pricing and hedging with minimum local expected shortfall

Benoît Pochart, Jean-Philippe Bouchaud

We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall),…