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Prices for State-Contingent Claims: Some Estimates and Applications
16 references·16 citing·32 second hopsampled
Prices for State-Contingent Claims: Some Estimates and Applications (1978)Prices for State-Contingent Claims: Some …The variation of certain speculative prices (1997)The variation of certain spec…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Risk-adjusted discount rates and capital budgeting under uncertainty (1977)Risk-adjusted discount rates …Foundations of Finance. (1977)Foundations of Finance.A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Options and Efficiency (1976)Options and EfficiencyAn aggregation theorem for securities markets (1974)An aggregation theorem for se…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…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…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets (1972)Existence of Equilibrium of P…Investment Decision under Uncertainty: Applications of the State-Preference Approach (1966)Investment Decision under Unc…Investment Decision Under Uncertainty: Choice-Theoretic Approaches (1965)Investment Decision Under Unc…Why Are Put Options So Expensive? (2014)Why Are Put Options So Expens…Estimating the Implied Risk‐Neutral Density for the US Market Portfolio* (2010)Estimating the Implied Risk‐N…Market Price of Variance Risk and Performance of Hedge Funds (2005)Market Price of Variance Risk…Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Option-Implied Risk-Neutral D…Statistical Arbitrage and Securities Prices (2003)Statistical Arbitrage and Sec…Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (2002)Telling from Discrete Data Wh…Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Hedging Derivative Securities…Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Do option markets correctly p…Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Option-Implied Risk-Neutral D…Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application (1998)Implied Risk-Neutral Probabil…Option Pricing and the Martingale Restriction (1995)Option Pricing and the Martin…CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)On the Application of the Con…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Consumption, production, inflation and interest rates (1986)Consumption, production, infl…Myopia, Capital Budgeting and Decision Making (1982)Myopia, Capital Budgeting and…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Multivariate tests of financial models (1982)Mean-Variance Spanning (1987)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Theory of Financial Decision Making. (1988)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Does the Stock Market Overreact? (1985)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1973The Role of Securities in the Optimal Allocation of Risk-bearing1,179 cited
  • 1977Foundations of Finance.1,128 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1976Options and Efficiency830 cited
  • 1972Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets722 cited
  • 1974An aggregation theorem for securities markets484 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1977Risk-adjusted discount rates and capital budgeting under uncertainty392 cited
  • 1966Investment Decision under Uncertainty: Applications of the State-Preference Approach383 cited

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1965
Investment Decision Under Uncertainty: Choice-Theoretic Approaches
357 cited

Cited by

  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees246 cited
  • 1995Option Pricing and the Martingale Restriction242 cited
  • 2014Why Are Put Options So Expensive?239 cited
  • 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
  • 2002Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion197 cited
  • 1989On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance184 cited
  • 1998Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application180 cited
  • 2010Estimating the Implied Risk‐Neutral Density for the US Market Portfolio*176 cited
  • 1986Consumption, production, inflation and interest rates158 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 2003Statistical Arbitrage and Securities Prices137 cited
  • 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
  • 2005Market Price of Variance Risk and Performance of Hedge Funds124 cited
  • 1982Myopia, Capital Budgeting and Decision Making123 cited