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The Pricing of Contingent Claims in Discrete Time Models · Study

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ArticleThe Pricing of Contingent Claims in Discrete Time Models

Michael John Brennan1979

Article1979

The Pricing of Contingent Claims in Discrete Time Models

Michael John Brennan

546 citations·0/0 files stored·The Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976The valuation of options for alternative stochastic processes 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1979The valuation of compound options

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1993The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options 2000Gain, Loss, and Asset Pricing 1980Who Should Buy Portfolio Insurance?2001Optimal positioning in derivative securities 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 2008Option valuation with long-run and short-run volatility components☆

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1984The Valuation of Multivariate Contingent Claims in Discrete Time Modelsarticle · 7 shared references 1982Options on the minimum or the maximum of two risky assetsarticle · 6 shared references 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSIONarticle · 6 shared references 1977An analytic valuation formula for unprotected American call options on stocks with known dividendsarticle · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 1976A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORYarticle · 6 shared references

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Year1979

Typearticle

Published1979-03-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations546

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1540-6261.1979.tb02070.x

openalex_workW2129605852

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2001

Pricing and hedging in incomplete markets