Towards a General Theory of Good Deal Bounds

By Tomas Björk, Irina Slinko. 2006

121 citations recorded by the source corpus.

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Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “For papers along these lines we refer to Cherny [20], Staum [62], Björk and Slinko [9], and Klöppel and Schweizer [53].”
Pricing with Coherent Risk (2006, background): “Cochrane and SaáRequejo [17] defined a good deal as a trade with unusually high Sharpe ratio, Bernardo and Ledoit [6] based their definition on another gain to loss ratio, while Černý and Hodges [11] proposed a generalization of both definitions (see also the paper [7] by Bjork and Slinko, which ext”
A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010, methodology): “so the measure Q is in fact a risk neutral martingale measure, and it is easy to check (see for example [2]) that Q is in fact the so called “minimal martingale measure” used in the context of local risk minimization and developed in [9] and related papers.”