Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Pricing of Contingent Claims in Discrete Time Models

7 references·16 citing·28 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
1979The valuation of compound options1,107 cited

Cited by

1993The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options544 cited
2000Gain, Loss, and Asset Pricing475 cited
1980Who Should Buy Portfolio Insurance?392 cited
2001Optimal positioning in derivative securities382 cited
1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices331 cited
2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel310 cited
2008Option valuation with long-run and short-run volatility components☆307 cited
2001Pricing and hedging in incomplete markets300 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1999

Skewness in financial returns

292 cited

2004Which GARCH Model for Option Valuation?290 cited

1990Valuing Flexibility as a Complex Option287 cited

2005Option valuation with conditional skewness282 cited

1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)276 cited

2008A GARCH Option Pricing Model with Filtered Historical Simulation274 cited

2000Nonparametric Risk Management and Implied Risk Aversion272 cited

199520 Testing option pricing models269 cited