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Martingale option pricing
6 references·0 citing·23 second hop
Martingale option pricing (2007)Martingale option pricingNonstationary increments, scaling distributions, and variable diffusion processes in financial markets (2007)Nonstationary increments, sca…Hurst exponents, Markov processes, and fractional Brownian motion (2006)Hurst exponents, Markov proce…An empirical model of volatility of returns and option pricing (2003)An empirical model of volatil…Noise (1986)NoiseMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Applications of δ-function perturbation to the pricing of derivative securities (2004)Entropy-Based Analysis and Bioinformatics-Inspired Integration of Global Economic Information Transfer (2013)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Fractional calculus and continuous-time finance (2000)Dynamic efficiency of stock markets and exchange rates (2016)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Time averaging, ageing and delay analysis of financial time series (2017)Using correlated stochastic differential equations to forecast cryptocurrency rates and social media activities (2020)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bulls, bears and market sheep (1990)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Synchronization risk and delayed arbitrage (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1986Noise600 cited
  • 2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets77 cited
  • 2006Hurst exponents, Markov processes, and fractional Brownian motion75 cited
  • 2003An empirical model of volatility of returns and option pricing42 cited

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