References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1999Coherent Measures of Risk8,849 cited
• 1973Theory of Rational Option Pricing8,060 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1968The Cost of Transacting1,909 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
• 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1986Capital Market Equilibrium with Transaction Costs1,096 cited
• 1980Dealership market965 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests