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Implied Risk Aversion Parameter from Option Prices
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Implied Risk Aversion Parameter from Option Prices (1997)Implied Risk Aversion Parameter from Opti…Theory of rational option pricing (2005)Theory of rational option pri…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …Dividends and S&P 100 index option valuation (1992)Dividends and S&P 100 index o…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …Simulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)A Method of Simulated Moments…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1988)An Analysis of the Implicatio…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)An Analysis of the Implicatio…The equity premium: A puzzle (1985)The equity premium: A puzzleTime to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSOptions: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The valuation of options for alternative stochastic processes (1976)The valuation of options for …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…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)Patents as Options: Some Estimates of the Value of Holding European Patent Stocks (1984)Automobile Prices in Market Equilibrium (1995)Discrete Choice Methods with Simulation (2001)The Impact of Uncertainty Shocks (2009)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)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)5 Stochastic volatility (1996)Discrete Choice Methods and their Applications to Short Term Travel Decisions (1999)Transition to Clean Technology (2016)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1988An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies332 cited
  • 1987An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies280 cited

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  • 1992Dividends and S&P 100 index option valuation116 cited
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