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Numerical Valuation of High Dimensional Multivariate European Securities
16 references·6 citing·28 second hop
Numerical Valuation of High Dimensional Multivariate European Securities (1995)Numerical Valuation of High Dimensional M…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A continuous time approach to the pricing of bonds (1979)A continuous time approach to…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Multivariate option pricing with time varying volatility and correlations (2011)Multivariate option pricing w…A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)A Dynamic Programming Procedu…Efficient Monte Carlo pricing of European options¶using mean value control variates (2001)Efficient Monte Carlo pricing…Asymptotic Distribution of the EMS Option Price Estimator (2001)Asymptotic Distribution of th…Valuation of Early-Stage Ventures: Option Valuation Models vs. Traditional Approaches (1996)Valuation of Early-Stage Vent…Lookback options with discrete and partial monitoring of the underlying price (1995)Lookback options with discret…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Stochastic Differential Equations and Diffusion Processes (1983)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling Term Structures of Defaultable Bonds (1999)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1979A continuous time approach to the pricing of bonds796 cited

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  • 1984The American Put Option Valued Analytically728 cited
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    • 1995Lookback options with discrete and partial monitoring of the underlying price60 cited
    • 2002A Dynamic Programming Procedure for Pricing American-Style Asian Options42 cited
    • 2011Multivariate option pricing with time varying volatility and correlations33 cited
    • 1996Valuation of Early-Stage Ventures: Option Valuation Models vs. Traditional Approaches27 cited
    • 2001Efficient Monte Carlo pricing of European options¶using mean value control variates25 cited
    • 2001Asymptotic Distribution of the EMS Option Price Estimator22 cited