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Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing

Stewart D. Hodges · Andrew Peter Carverhill

38 citations0/0 files storedThe Economic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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Stewart Hodges, Andrew Carverhill; Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Schol

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1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1971Optimum consumption and portfolio rules in a continuous-time model 1979Martingales and arbitrage in multiperiod securities markets 1988Dividend yields and expected stock returns 1987Mean Reversion in Stock Prices: Evidence and Implications 1989Foundations for Financial Economics.1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market

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2014Mean-reversion and optimization 2020Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs

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