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The analysis of finite security markets using martingales

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References

1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1988Theory of Financial Decision Making.1,867 cited
1978A Simple Approach to the Valuation of Risky Streams578 cited
1983A stochastic calculus model of continuous trading: Complete markets431 cited
1982Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model111 cited

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2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
2009Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model43 cited
1989Pathwise stochastic integration and applications to the theory of continuous trading27 cited
1993From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing25 cited

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