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A General Theory of Asset Valuation under Diffusion State Processes · Study

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PreprintA General Theory of Asset Valuation under Diffusion State Processes

Mark B. Garman1976

Preprint1976

A General Theory of Asset Valuation under Diffusion State Processes

86 citations·0/0 files stored·RePEc: Research Papers in Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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1981Valuation of risky assets in arbitrage-free economies with transactions costs 1982Toward a theory of bank loan commitments 1997A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results 1999Stochastic volatility, smile & asymptotics 2005Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 2003Empirical reverse engineering of the pricing kernel 1985Towards a Semigroup Pricing Theory 1981Notes on Multiperiod Valuation and the Pricing of Options

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Year1976

Typepreprint

Published1976-10-01

VenueRePEc: Research Papers in Economics

Languageen

Citations86

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW1512565661

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