SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Minimum option prices under decreasing absolute risk aversion
16 references·0 citing·29 second hop
Minimum option prices under decreasing absolute risk aversion (1999)Minimum option prices under decreasing ab…Theory of rational option pricing (2005)Theory of rational option pri…Heterogeneity and Option Pricing (2000)Heterogeneity and Option Pric…Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Pricing Options under General…Option Bounds with Finite Revision Opportunities (1988)Option Bounds with Finite Rev…On the Consistency of the Black-Scholes Model with a General Equilibrium Framework (1987)On the Consistency of the Bla…Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach (1985)Upper and Lower Bounds of Put…On Option Pricing Bounds (1985)On Option Pricing BoundsOption Pricing Bounds in Discrete Time (1984)Option Pricing Bounds in Disc…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…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…A Sufficient Condition for a Unique Nonnegative Internal Rate of Return (1972)A Sufficient Condition for a …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)American option pricing under GARCH by a Markov chain approximation (2001)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Who Should Buy Portfolio Insurance? (1980)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Gain, Loss, and Asset Pricing (2000)Semi-parametric upper bounds for option prices and expected payoffs (1987)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)International momentum strategies: a stochastic dominance approach (2004)Mispricing of S&P 500 Index Options (2008)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Option pricing: A simplified approach (1979)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)On the measurement of inequality (1970)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)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1999Pricing Options under Generalized GARCH and Stochastic Volatility Processes240 cited
  • 1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach172 cited
  • 1985On Option Pricing Bounds162 cited
  • 1984Option Pricing Bounds in Discrete Time152 cited
  • 1987On the Consistency of the Black-Scholes Model with a General Equilibrium Framework105 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models101 cited
  • 1988Option Bounds with Finite Revision Opportunities92 cited
  • 2000Heterogeneity and Option Pricing85 cited
  • 1972A Sufficient Condition for a Unique Nonnegative Internal Rate of Return

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

78 cited

Cited by

No citing works inside the corpus for this window.