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Continuous-time security pricing
15 references·16 citing·38 second hop
Continuous-time security pricing (1994)Continuous-time security pricingStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Backward-Forward Stochastic Differential Equations (1993)Backward-Forward Stochastic D…Stochastic Differential Utility (1992)Stochastic Differential Utili…Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach (1992)Intertemporal Preferences for…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Optimal Growth with Intertemporally Dependent Preferences (1973)Optimal Growth with Intertemp…Option Prices in a Model with Stochastic Disaster Risk (2018)Option Prices in a Model with…Gold, platinum, and expected stock returns (2018)Gold, platinum, and expected …Good and Bad Variance Premia and Expected Returns (2017)Good and Bad Variance Premia …Ambiguous volatility, possibility and utility in continuous time (2013)Ambiguous volatility, 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Stochastic Calculus (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Option pricing: A simplified 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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1973Optimal Growth with Intertemporally Dependent Preferences593 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1989Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth527 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1993Backward-Forward Stochastic Differential Equations345 cited
  • 1992Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach

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79 cited

Cited by

  • 2013Ambiguous Volatility and Asset Pricing in Continuous Time236 cited
  • 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure234 cited
  • 2003A two-person dynamic equilibrium under ambiguity233 cited
  • 2011Explaining asset pricing puzzles associated with the 1987 market crash229 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 1996On the pricing of contingent claims under constraints191 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
  • 2017Good and Bad Variance Premia and Expected Returns151 cited
  • 1997Non-linear pricing theory and backward stochastic differential equations150 cited
  • 2013Ambiguous volatility, possibility and utility in continuous time148 cited
  • 2010On irreversible investment144 cited
  • 2018Gold, platinum, and expected stock returns139 cited
  • 2009On the pricing of longevity-linked securities131 cited
  • 2006Backward stochastic Volterra integral equations and some related problems125 cited
  • 2007The Levered Equity Risk Premium and Credit Spreads: A Unified Framework123 cited
  • 2018Option Prices in a Model with Stochastic Disaster Risk110 cited