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Itô’s Calculus in Financial Decision Making
16 references·0 citing·22 second hop
Itô’s Calculus in Financial Decision Making (1983)Itô’s Calculus in Financial Decision Maki…Stochastic Differential Equations: Theory and Applications (2007)Stochastic Differential Equat…Theory of rational option pricing (2005)Theory of rational option pri…The Economics of Information and Uncertainty (1982)The Economics of Information …Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…A New Representation for Stochastic Integrals and Equations (1966)A New Representation for Stoc…Stochastic integral (1944)Stochastic integralEFFICIENT 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)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)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)The equity premium: A puzzle (1985)Finite state markov-chain approximations to univariate and vector autoregressions (1986)Stock Returns, Expected Returns, and Real Activity (1990)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Value of Waiting to Invest (1982)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1976Stochastic Differential Equations: Theory and Applications.2,351 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1982The Economics of Information and Uncertainty861 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1966A New Representation for Stochastic Integrals and Equations590 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 2007Stochastic Differential Equations: Theory and Applications588 cited
  • 1944Stochastic integral547 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities

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