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Security Markets, Stochastic Models.
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Cited by

  • 2008Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets103 cited
  • 1991On the Computation of Continuous Time Option Prices Using Discrete Approximations78 cited
  • 1995Numerical Valuation of High Dimensional Multivariate European Securities73 cited
  • 1992Pricing continuously resettled contingent claims69 cited
  • 1992Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy55 cited
  • 2008Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM51 cited
  • 1994Cross-Holdings: Estimation Issues, Biases, and Distortions48 cited
  • 2001An Economic Model for Evaluating Mining and Manufacturing Ventures with Output Yield Uncertainty44 cited
  • 2010Portfolio Selection in the Enlarged Markovian Regime-Switching Market33 cited
  • 2004Market clearing, utility functions, and securities prices26 cited
  • 1999Distributions of occupation times of Brownian motion with drift25 cited
  • 2006Economics and Finance of Risk and of the Future9 cited

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