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Contingent claims valuation when the security price is a combination of an Ito process and a random point process
16 references·10 citing·17 second hop
Contingent claims valuation when the security price is a combination of an Ito process and a random point process (1988)Contingent claims valuation when the secu…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Point Processes and Queues (1981)Point Processes and QueuesMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage 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…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Role of Securities in the…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets (2007)Pricing Options and Variance …Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios (2007)Heath-Jarrow-Morton Modelling…Option Pricing with a General Marked Point Process (2001)Option Pricing with a General…OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (2001)OPTION PRICING FOR INCOMPLETE…Stability for multidimensional jump-diffusion processes (1999)Stability for multidimensiona…On martingale measures when asset returns have unpredictable jumps (1996)On martingale measures when a…Target zone modelling and estimation for European Monetary System exchange rates (1994)Target zone modelling and est…Pricing options on securities with discontinuous returns (1993)Pricing options on securities…Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization (1993)Equilibrium in a Reinsurance …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)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)An equilibrium characterization of the term structure (1977)The Value of Waiting to Invest (1982)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1981Point Processes and Queues1,652 cited
  • 2006Stochastic Differential Equations—An Introduction With Applications1,648 cited
  • 1973The Role of Securities in the Optimal Allocation of Risk-bearing1,179 cited

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1964
The Role of Securities in the Optimal Allocation of Risk-bearing
1,172 cited

Cited by

  • 1993Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization78 cited
  • 2007Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios45 cited
  • 2001Option Pricing with a General Marked Point Process42 cited
  • 2012On the History of the Growth-Optimal Portfolio35 cited
  • 1996On martingale measures when asset returns have unpredictable jumps34 cited
  • 1999Stability for multidimensional jump-diffusion processes34 cited
  • 1993Pricing options on securities with discontinuous returns33 cited
  • 1994Target zone modelling and estimation for European Monetary System exchange rates32 cited
  • 2007Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets30 cited
  • 2001OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST30 cited