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A Generalization of the Brennan‐Rubinstein Approach for the Pricing of Derivatives
16 references·12 citing·29 second hop
A Generalization of the Brennan‐Rubinstein Approach for the Pricing of Derivatives (2003)A Generalization of the Brennan‐Rubinstei…Theory of rational option pricing (2005)Theory of rational option pri…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Risk Management and Implied Risk Aversion (2000)Nonparametric Risk Management…On Equilibrium Asset Price Processes (1993)On Equilibrium Asset Price Pr…Invisible Parameters in Option Prices (1993)Invisible Parameters in Optio…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Foundations for Financial Economics (1988)Foundations for Financial Eco…The Valuation of Multivariate Contingent Claims in Discrete Time Models (1984)The Valuation of Multivariate…Displaced Diffusion Option Pricing (1983)Displaced Diffusion Option Pr…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…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…Does corporate social responsibility matter for corporate stability? Evidence from China (2017)Does corporate social respons…GARCH Option Valuation:Theory and Evidence (2013)GARCH Option Valuation:Theory…Asset pricing with Second-Order Esscher Transforms (2012)Asset pricing with Second-Ord…A comparative study of the probability of default for global financial firms (2011)A comparative study of the pr…Pricing and Inference with Mixtures of Conditionally Normal Processes (2010)Pricing and Inference with Mi…Microstructural biases in empirical tests of option pricing models (2009)Microstructural biases in emp…Esscher transforms and consumption-based models (2009)Esscher transforms and consum…Option Valuation with Long-Run and Short-Run Volatility Components (2008)Option Valuation with Long-Ru…Information Quality and Options (2006)Information Quality and Optio…An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options (2006)An Empirical Comparison of Af…Risk‐Neutral Parameter Shifts and Derivatives Pricing in Discrete Time (2004)Risk‐Neutral Parameter Shifts…Option Valuation with Conditional Skewness (2004)Option Valuation with Conditi…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)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Who Should Buy Portfolio Insurance? (1980)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Gain, Loss, and Asset Pricing (2000)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Empirical pricing kernels (2002)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)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)Option pricing: A simplified approach (1979)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 1989Foundations for Financial Economics.831 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1988Foundations for Financial Economics492 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion272 cited
  • 1983Displaced Diffusion Option Pricing247 cited
  • 1993On Equilibrium Asset Price Processes153 cited
  • 1993Invisible Parameters in Option Prices133 cited
  • 1984The Valuation of Multivariate Contingent Claims in Discrete Time Models104 cited

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Cited by

  • 2004Option Valuation with Conditional Skewness74 cited
  • 2006Information Quality and Options63 cited
  • 2008Option Valuation with Long-Run and Short-Run Volatility Components62 cited
  • 2010Pricing and Inference with Mixtures of Conditionally Normal Processes58 cited
  • 2013GARCH Option Valuation:Theory and Evidence51 cited
  • 2009Microstructural biases in empirical tests of option pricing models45 cited
  • 2004Risk‐Neutral Parameter Shifts and Derivatives Pricing in Discrete Time45 cited
  • 2017Does corporate social responsibility matter for corporate stability? Evidence from China44 cited
  • 2011A comparative study of the probability of default for global financial firms43 cited
  • 2012Asset pricing with Second-Order Esscher Transforms35 cited
  • 2006An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options33 cited
  • 2009Esscher transforms and consumption-based models25 cited