Demand-Based Option Pricing

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Theory of rational option pricing

2005 • 7,870 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The Limits of Arbitrage

1997 • 4,594 citations

Recursive Methods in Economic Dynamics

1989 • 3,199 citations

Value and Capital

1939 • 3,079 citations

The jump-risk premia implicit in options: evidence from an integrated time-series study

2002 • 1,798 citations

Implied Binomial Trees

1994 • 1,767 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Post-'87 crash fears in the S&P 500 futures option market

2000 • 1,478 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

2003 • 1,393 citations

Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

1998 • 1,096 citations

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

2004 • 950 citations

Recovering Risk Aversion from Option Prices and Realized Returns

2000 • 900 citations

Does Arbitrage Flatten Demand Curves for Stocks?

2002 • 897 citations

Expected Option Returns

2001 • 789 citations

Model Specification and Risk Premia: Evidence from Futures Options

2007 • 647 citations

The Pricing of Contingent Claims in Discrete Time Models

1979 • 571 citations

Hedging Pressure Effects in Futures Markets

2000 • 480 citations

Gain, Loss, and Asset Pricing

2000 • 456 citations

Who Should Buy Portfolio Insurance?

1980 • 387 citations

Empirical option pricing: a retrospection

2003 • 382 citations

Asymmetric Information and Options

1993 • 331 citations

Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage

2004 • 323 citations

There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

1995 • 310 citations

Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market

2007 • 301 citations

Maximum Likelihood Estimation of Latent Affine Processes

2006 • 275 citations

Overreactions in the Options Market

1989 • 271 citations

Option Market Activity

2006 • 261 citations

Option Pricing and the Martingale Restriction

1995 • 260 citations

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

2001 • 225 citations

Options Arbitrage in Imperfect Markets

1989 • 197 citations

Expected Option Returns

1999 • 189 citations

Mispricing of S&P 500 Index Options

2008 • 171 citations

The Behavior of Bid‐Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999

2003 • 151 citations

Why are Put Options So Expensive?

2003 • 147 citations

ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

2005 • 119 citations

The Valuation of Multivariate Contingent Claims in Discrete Time Models

1984 • 109 citations

Index Option Prices and Stock Market Momentum

2004 • 104 citations

Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs

2002 • 95 citations

Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance

2004 • 74 citations

Model Specification and Risk Premia: Evidence from Futures Options

2005 • 61 citations

A Portfolio Perspective on Option Pricing Anomalies

2003 • 49 citations

The Fantastic World of Finance: Progress and the Free Lunch

1979 • 47 citations

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

2005 • 29 citations

Mispricing of S&P 500 Index Options

2008 • 29 citations

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

2000 • 21 citations

Demand for Portfolio Insurance and Index Option Prices

2004 • 4 citations