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Fundamental Theorem of Asset Pricing
16 references·0 citing·28 second hop
Fundamental Theorem of Asset Pricing (2010)Fundamental Theorem of Asset PricingProof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…Théorie de la spéculation (1900)Théorie de la spéculationThe Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Market Insurance, Self-Insurance, and Self-Protection (1992)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1964The Role of Securities in the Optimal Allocation of Risk-bearing1,172 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited

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1983
A stochastic calculus model of continuous trading: Complete markets
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