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Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
16 references·10 citing·20 second hop
Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007)Stochastic Dominance Bounds on American O…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Continuous-Time Finance. (1991)Continuous-Time Finance.The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Martingales 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 …Options and Efficiency (1976)Options and EfficiencyOption 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…Stochastic Bounds for Reference Sets in Portfolio Analysis (2021)Stochastic Bounds for Referen…Risk Arbitrage Opportunities for Stock Index Options (2020)Risk Arbitrage Opportunities …Price limits under incomplete preference information based on almost stochastic dominance (2019)Price limits under incomplete…Mispriced index option portfolios (2019)Mispriced index option portfo…The Pricing Kernel Puzzle: Survey and Outlook (2016)The Pricing Kernel Puzzle: Su…Option Valuation with Conditional Heteroskedasticity and Non-Normality (2009)Option Valuation with Conditi…Monotonicity of the Stochastic Discount Factor and Expected Option Returns (2009)Monotonicity of the Stochasti…Price Limits Under Incomplete Preference Information Based On Almost Stochastic Dominance (2008)Price Limits Under Incomplete…Mispricing of S&P 500 Index Options (2008)Mispricing of S&P 500 Index O…Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence (2008)Are Options on Index Futures …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)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)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)The Value of Waiting to Invest (1982)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 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
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 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
  • 1991Continuous-Time Finance.1,788 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited

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  • 1976Options and Efficiency830 cited
  • Cited by

    • 2016The Pricing Kernel Puzzle: Survey and Outlook62 cited
    • 2009Monotonicity of the Stochastic Discount Factor and Expected Option Returns46 cited
    • 2021Stochastic Bounds for Reference Sets in Portfolio Analysis28 cited
    • 2008Mispricing of S&P 500 Index Options26 cited
    • 2019Mispriced index option portfolios25 cited
    • 2008Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence21 cited
    • 2020Risk Arbitrage Opportunities for Stock Index Options20 cited
    • 2009Option Valuation with Conditional Heteroskedasticity and Non-Normality20 cited
    • 2019Price limits under incomplete preference information based on almost stochastic dominance1 cited
    • 2008Price Limits Under Incomplete Preference Information Based On Almost Stochastic Dominance0 cited