SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Statistical tests of contingent-claims asset-pricing models
16 references·9 citing·28 second hop
Statistical tests of contingent-claims asset-pricing models (1986)Statistical tests of contingent-claims as…Theory of rational option pricing (2005)Theory of rational option pri…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…Multivariate tests of financial models (1982)Multivariate tests of financi…On estimating the expected return on the market (1980)On estimating the expected re…Foundations of Finance. (1977)Foundations of Finance.An equilibrium characterization of the term structure (1977)An equilibrium characterizati…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…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 Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Simulation-Based Estimation of Contingent-Claims Prices (2009)Simulation-Based Estimation o…Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration (2004)Estimating Merton's Model by …Maximum likelihood estimation of deposit insurance value with interest rate risk (2002)Maximum likelihood estimation…Estimating Structural Bond Pricing Models (2001)Estimating Structural Bond Pr…Pricing corporate debt (1998)Pricing corporate debtImplied Volatility Functions: Empirical Tests (1996)Implied Volatility Functions:…Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing (1994)Are Jumps in Stock Returns Di…A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation (1993)A Bayesian Approach to Modeli…The valuation of American call options and the expected ex-dividend stock price decline (1986)The valuation of American cal…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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)
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
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1976Stochastic Differential Equations: Theory and Applications.2,351 cited
  • 1977Foundations of Finance.1,128 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1982Multivariate tests of financial models614 cited

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

  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • Cited by

    • 1986The valuation of American call options and the expected ex-dividend stock price decline55 cited
    • 2004Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration52 cited
    • 2002Maximum likelihood estimation of deposit insurance value with interest rate risk50 cited
    • 1993A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation50 cited
    • 2009Simulation-Based Estimation of Contingent-Claims Prices39 cited
    • 1994Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing36 cited
    • 1998Pricing corporate debt36 cited
    • 1996Implied Volatility Functions: Empirical Tests28 cited
    • 2001Estimating Structural Bond Pricing Models25 cited