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An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims
16 references·0 citing·26 second hop
An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims (1999)An Extended Set of Risk Neutral Valuation…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…A Simple Nonparametric Approach to Derivative Security Valuation (1996)A Simple Nonparametric Approa…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELThe Informational Content of Implied Volatility (1993)The Informational Content of …Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Displaced Diffusion Option Pricing (1983)Displaced Diffusion Option Pr…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…Option pricing: A simplified approach (1979)Option pricing: A simplified …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The valuation of options for alternative stochastic processes (1976)The valuation of options for …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 Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)5 Stochastic volatility (1996)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1996A Simple Nonparametric Approach to Derivative Security Valuation372 cited
  • 1983Displaced Diffusion Option Pricing

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