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Warrant pricing: a review of empircal research
16 references·0 citing·26 second hop
Warrant pricing: a review of empircal research (2003)Warrant pricing: a review of empircal res…Theory of rational option pricing (2005)Theory of rational option pri…The journal of financial economics (1993)The journal of financial econ…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…Option pricing: A simplified approach (1979)Option pricing: A simplified …An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…The valuation of options for alternative stochastic processes (1976)The valuation of options for …STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…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…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)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)INSTRUMENTAL STAKEHOLDER THEORY: A SYNTHESIS OF ETHICS AND ECONOMICS (1995)THE IMPACT OF HUMAN RESOURCE MANAGEMENT PRACTICES ON PERCEPTIONS OF ORGANIZATIONAL PERFORMANCE. (1996)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)The Value of Waiting to Invest (1982)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1993The journal of financial economics2,614 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY912 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency

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612 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
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