Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
Data up to Jan 2025
Total Citations Per Year
Abstract
References (17)
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
Theory of rational option pricing
2005 • 7,870 citations
Theory of Rational Option Pricing
1973 • 7,693 citations
Martingales and arbitrage in multiperiod securities markets
1979 • 3,734 citations
The valuation of options for alternative stochastic processes
1976 • 3,064 citations
The pricing of commodity contracts
1976 • 2,931 citations
Martingales and stochastic integrals in the theory of continuous trading
1981 • 2,903 citations
An Intertemporal General Equilibrium Model of Asset Prices
1985 • 2,096 citations
Proof that Properly Anticipated Prices Fluctuate Randomly
2015 • 1,924 citations
The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
1987 • 1,016 citations
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
1983 • 950 citations
The relation between forward prices and futures prices
1981 • 770 citations
A Simple Approach to the Valuation of Risky Streams
1978 • 602 citations
Risk and return in finance
1977 • 275 citations
Capital Asset Prices and the Temporal Resolution of Uncertainty*
1980 • 57 citations
VALUATION OF THE FIRM: EFFECTS OF UNCERTAINTY IN A MARKET CONTEXT
1966 • 46 citations
Deleted Work
1955 • 0 citations