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Implementing Option Pricing Models When Asset Returns Are Predictable
16 references·16 citing·32 second hopsampled
Implementing Option Pricing Models When Asset Returns Are Predictable (1995)Implementing Option Pricing Models When A…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The equity premium: A puzzle (1985)The equity premium: A puzzleDoes the Stock Market Overreact? (1985)Does the Stock Market Overrea…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…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 …Option 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…A real options approach to analyse wind energy investments under different support schemes (2016)A real options approach to an…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…Systemic risk and the refinancing ratchet effect (2012)Systemic risk and the refinan…Jumps and Information Flow in Financial Markets (2011)Jumps and Information Flow in…Irreversible investment, real options, and competition: Evidence from real estate development (2008)Irreversible investment, real…Finance Capitalism and Germany's Rise to Industrial Power (2007)Finance Capitalism and German…Index Option Prices and Stock Market Momentum (2004)Index Option Prices and Stock…Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments (2001)Valuing Managerial Flexibilit…Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Do option markets correctly p…When is time continuous? (2000)When is time continuous?Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate (2000)Testing the Empirical Perform…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…The Three P's of Total Risk Management (1999)The Three P's of Total Risk M…The Black–Scholes pricing formula in the quantum context (1998)The Black–Scholes pricing for…Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods (1998)Alternative Models of Uncerta…Implied Volatility (1995)Implied VolatilityAn Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)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)Theory of rational option pricing (2005)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)ARCH modeling in finance (1992)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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2,469 cited

Cited by

  • 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
  • 2008Irreversible investment, real options, and competition: Evidence from real estate development217 cited
  • 2007Finance Capitalism and Germany's Rise to Industrial Power209 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2011Jumps and Information Flow in Financial Markets184 cited
  • 2001Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments172 cited
  • 1999The Three P's of Total Risk Management153 cited
  • 2012Systemic risk and the refinancing ratchet effect142 cited
  • 1995Implied Volatility139 cited
  • 2013The Joint Cross Section of Stocks and Options135 cited
  • 2000When is time continuous?130 cited
  • 2000Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate115 cited
  • 1998Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods108 cited
  • 2004Index Option Prices and Stock Market Momentum93 cited
  • 2016A real options approach to analyse wind energy investments under different support schemes87 cited
  • 1998The Black–Scholes pricing formula in the quantum context86 cited