General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
Data up to Jan 2025
Total Citations Per Year
Abstract
References (20)
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
Option pricing when underlying stock returns are discontinuous
1976 • 5,962 citations
Asset Prices in an Exchange Economy
1978 • 5,134 citations
The valuation of options for alternative stochastic processes
1976 • 3,064 citations
Martingales and stochastic integrals in the theory of continuous trading
1981 • 2,903 citations
The Valuation of Uncertain Income Streams and the Pricing of Options
1976 • 1,727 citations
Stochastic Calculus and Applications.
1986 • 734 citations
On Jump Processes in the Foreign Exchange and Stock Markets
1988 • 657 citations
Stochastic Processes in Engineering Systems
1985 • 511 citations
A Compound Events Model for Security Prices
1967 • 463 citations
A stochastic calculus model of continuous trading: Complete markets
1983 • 441 citations
On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
1985 • 410 citations
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
2005 • 370 citations
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
1985 • 305 citations
Jump Risks and the Intertemporal Capital Asset Pricing Model
1984 • 257 citations
Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
1988 • 208 citations
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 • 156 citations
Contingent claims valuation when the security price is a combination of an Ito process and a random point process
1988 • 93 citations
An extension of the Black-Scholes model of security valuation
1988 • 36 citations
The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns
1976 • 30 citations