Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle

Theory of rational option pricing

2005 • 7,870 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Capital Market Equilibrium with Personal Tax

1983 • 509 citations

Optimal bond trading with personal taxes

1984 • 284 citations

AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES

1977 • 252 citations

A Sequential Signalling Model of Convertible Debt Call Policy

1985 • 180 citations

The money market

1983 • 163 citations

Tax-induced clientele effects in the market for British government securities

1982 • 97 citations

The Mispricing of U.S. Treasury Bonds: A Case Study

1989 • 95 citations

An empirical investigation of calls of non-convertible bonds

1986 • 80 citations

A Reexamination of the Value of Tax Options

1989 • 79 citations

Arbitrage pricing, transaction costs and taxation of capital gains

1984 • 63 citations

Trader rationality in the exercise of futures options

1989 • 19 citations