2 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.MF2015★ 2 cited
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
Erhan Bayraktar, Xiang Yu
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiqu…
math.PR2010
Valuation equations for stochastic volatility models
Erhan Bayraktar, Constantinos Kardaras, Hao Xing
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may gr…
cs.CE2007
Pricing Options on Defaultable Stocks
Erhan Bayraktar
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of…