Statistical tests of contingent-claims asset-pricing models

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Linear Statistical Inference and its Applications

1973 • 10,599 citations

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The behavior of maximum likelihood estimates under nonstandard conditions

1967 • 4,602 citations

The Theory of Stochastic Processes

1966 • 3,500 citations

On estimating the expected return on the market

1980 • 2,932 citations

Stochastic Differential Equations: Theory and Applications.

1976 • 2,496 citations

VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

1976 • 2,451 citations

Stochastic Stability and Control

1967 • 1,516 citations

Biometrika Tables for Statisticians

1967 • 1,460 citations

Foundations of Finance.

1977 • 1,197 citations

Fact and Fantasy in the Use of Options

1975 • 1,046 citations

The Advanced Theory of Statistics.

1984 • 958 citations

THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

1972 • 729 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

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 • 642 citations

Multivariate tests of financial models

1982 • 632 citations

The Valuation of Option Contracts and a Test of Market Efficiency

1972 • 601 citations

The information content of option prices and a test of market efficiency

1978 • 500 citations

Valuing Corporate Securities: Some Effects of Bond Indenture Provisions

1976 • 473 citations

An Empirical Examination of the Black‐Scholes Call Option Pricing Model

1979 • 405 citations

Valuation of American call options on dividend-paying stocks

1982 • 324 citations

Discretely adjusted option hedges

1980 • 206 citations

Tests of the Black‐Scholes and Cox Call Option Valuation Models

1980 • 190 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

Financial Economics: Essays in Honor of Paul Cootner

1988 • 141 citations

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 • 119 citations

Transactions data tests of efficiency of the Chicago board options exchange

1983 • 113 citations

An Empirical Examination of the Black-Scholes Call Option Pricing Model

1979 • 110 citations

Social Security, Health Status, and Retirement

1985 • 95 citations

Bond indenture provisions and the risk of corporate debt

1982 • 87 citations

Empirical tests of boundary conditions for CBOE options

1978 • 84 citations

The impact of variance estimation in option valuation models

1977 • 76 citations

Option Pricing Model Estimates: Some Empirical Results

1982 • 64 citations

Tests of the Black-Scholes and Cox Call Option Valuation Models

1980 • 60 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 55 citations

Social Security, Health Status, and Retirement

1985 • 48 citations

The Chicago Board Options Exchange and Market Efficiency

1978 • 39 citations

Stochastic processes of common stock returns : an empirical examination.

1980 • 19 citations

Savings bonds : theory and empirical evidence

1979 • 11 citations