On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
Data up to Jan 2025
Total Citations Per Year
Abstract
References (20)
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
A Theory of the Term Structure of Interest Rates
1985 • 8,604 citations
Theory of rational option pricing
2005 • 7,870 citations
Theory of Rational Option Pricing
1973 • 7,693 citations
Stochastic Differential Equations and Diffusion Processes
1983 • 4,107 citations
Martingales and arbitrage in multiperiod securities markets
1979 • 3,734 citations
The valuation of options for alternative stochastic processes
1976 • 3,064 citations
Stochastic differential equations and diffusion processes
1982 • 1,391 citations
Stochastic Filtering Theory
1980 • 769 citations
Stochastic Calculus and Applications.
1986 • 734 citations
Statistics of Random Processes I: General Theory
1984 • 617 citations
The Theory of Stochastic Processes III
2012 • 586 citations
STOCHASTIC CALCULUS AND APPLICATIONS
1983 • 452 citations
Brownian Motion and Martingales in Analysis.
1985 • 396 citations
Savings bonds, retractable bonds and callable bonds
1977 • 240 citations
The Theory of Stochastic Processes III
1979 • 208 citations
Statistics of random processes I: General theory
1983 • 197 citations
Term structure of interest rates: The martingale approach
1989 • 114 citations
Bond Price Dynamics and Options
1983 • 105 citations
An extension of the Black-Scholes model of security valuation
1988 • 36 citations