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Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing
14 references·2 citing·39 second hop
Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing (1993)Quasi Mean Reversion in an Efficient Stoc…Theory of rational option pricing (2005)Theory of rational option pri…On dynamic investment strategies (2000)On dynamic investment strateg…On Equilibrium Asset Price Processes (1993)On Equilibrium Asset Price Pr…On Viable Diffusion Price Processes of the Market Portfolio (1990)On Viable Diffusion Price Pro…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Dividend yields and expected stock returns (1988)Dividend yields and expected …Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…On the Consistency of the Black-Scholes Model with a General Equilibrium Framework (1987)On the Consistency of the Bla…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model (1982)Multiperiod Securities and th…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs (2020)Space-distribution PDEs for p…Mean-reversion and optimization (2014)Mean-reversion and optimizati…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Rules for Ordering Uncertain Prospects (1969)"Expected Utility" Analysis without the Independence Axiom (1982)Efficient Trading Strategies in the Presence of Market Frictions (2001)Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value? (2001)PORTFOLIO CHOICE VIA QUANTILES (2010)Games and Decisions (2015)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)Long Forward and Zero-Coupon Rates Can Never Fall (1996)Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Choosing Outcomes versus Choosing Products: Consumer-Focused Retirement Investment Advice (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk (2000)A Portfolio Performance Index (2000)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)Brownian Motion and Stochastic Calculus (2007)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited
  • 1993On Equilibrium Asset Price Processes153 cited
  • 1982Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model111 cited
  • 1987On the Consistency of the Black-Scholes Model with a General Equilibrium Framework105 cited
  • 1990On Viable Diffusion Price Processes of the Market Portfolio86 cited
  • 2000On dynamic investment strategies80 cited

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  • 2014Mean-reversion and optimization35 cited

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  • 2020Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs29 cited