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A comparison of the Ito and Stratonovich formulations of problems in finance
8 references·0 citing·29 second hop
A comparison of the Ito and Stratonovich formulations of problems in finance (1981)A comparison of the Ito and Stratonovich …Option pricing (1976)Option pricingA SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY (1976)A SURVEY OF SOME NEW RESULTS …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…Mathematical problems of modeling stochastic nonlinear dynamic systems (1969)Mathematical problems of mode…A New Representation for Stochastic Integrals and Equations (1966)A New Representation for Stoc…On the relation between ordinary and stochastic differential equations (1965)On the relation between ordin…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The information content of option prices and a test of market efficiency (1978)A Quick Algorithm for Pricing European Average Options (1991)Striking oil: Another puzzle? (2008)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Tax Clienteles and Asset Pricing (1986)The Arbitrage Principle in Financial Economics (1987)The Valuation of Volatility Options (2000)On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)A Wong-Zakai theorem for stochastic PDEs (2015)A review on stochastic differential equations for applications in hydrology (1987)Parametric Random Vibrations under Non-Gaussian Delta-Correlated Processes (1995)Non-Gaussian distribution for stock returns and related stochastic differential equation (1996)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1965On the relation between ordinary and stochastic differential equations697 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 1966A New Representation for Stochastic Integrals and Equations590 cited
  • 1976Option pricing473 cited
  • 1976A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY170 cited
  • 1969Mathematical problems of modeling stochastic nonlinear dynamic systems153 cited

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