Leverage Constraints and the Optimal Hedging of Stock and Bond Options

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

1978 • 1,524 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Option Pricing and Replication with Transactions Costs

1985 • 805 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

Options on the minimum or the maximum of two risky assets

1982 • 564 citations

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

1991 • 473 citations

DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

1992 • 440 citations

Option Replication in Discrete Time with Transaction Costs

1992 • 404 citations

Explicit Solution of a General Consumption/Investment Problem

1986 • 383 citations

Optimal Replication of Options with Transactions Costs and Trading Restrictions

1993 • 221 citations

Optimal Dynamic Trading with Leverage Constraints

1992 • 156 citations

Option Bounds with Finite Revision Opportunities

1988 • 91 citations

An Introduction to Options and Futures.

1990 • 56 citations

Deleted Work

1955 • 0 citations