SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time-averaging and nonergodicity of reset geometric Brownian motion with drift
16 references·0 citing·24 second hop
Time-averaging and nonergodicity of reset geometric Brownian motion with drift (2022)Time-averaging and nonergodicity of reset…The Black Swan: The Impact of the Highly Improbable (2008)The Black Swan: The Impact of…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Option pricing: A simplified approach (1979)Option pricing: A simplified …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Théorie de la spéculation (1900)Théorie de la spéculationON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 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 Volatilities4,115 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2008The Black Swan: The Impact of the Highly Improbable2,477 cited
  • 2002

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

A Jump-Diffusion Model for Option Pricing
1,895 cited

Cited by

No citing works inside the corpus for this window.