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Spanning and derivative-security valuation · Study

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ArticleSpanning and derivative-security valuation

Gurdip Bakshi2000

Article2000

Spanning and derivative-security valuation

Gurdip Bakshi · Dilip B. Madan

746 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 746 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1987The Pricing of Options on Assets with Stochastic Volatilities 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1976The valuation of options for alternative stochastic processes 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2003Time-changed Lévy processes and option pricing 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates 2002Risk-Neutral Skewness: Evidence from Stock Options 2001Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 2013Market Skewness Risk and the Cross Section of Stock Returns 2007Investor Sentiment and Option Prices

Details

Year2000

Typearticle

Published2000-02-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations746

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/s0304-405x(99)00050-1

openalex_workW3122390195

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