Option Pricing With V. G. Martingale Components¹

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 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 Variance Gamma (V.G.) Model for Share Market Returns

1990 • 1,562 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Limit Theorems for Stochastic Processes

1987 • 1,242 citations

Efficient Analytic Approximation of American Option Values

1987 • 1,044 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Approximate option valuation for arbitrary stochastic processes

1982 • 636 citations

New Methods in Statistical Economics

1963 • 550 citations

The Distribution of Share Price Changes

1972 • 543 citations

THE VALUATION OF AMERICAN PUT OPTIONS

1977 • 539 citations

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

1992 • 497 citations

A Compound Events Model for Security Prices

1967 • 463 citations

New methods in statistical economics

1997 • 460 citations

The Valuation of American Put Options

1977 • 437 citations

General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns

1990 • 421 citations

Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

1978 • 421 citations

Stochastic Calculus and Applications

2015 • 261 citations

Asset pricing for general processes

1991 • 218 citations

Option Pricing: The American Put

1977 • 217 citations

An Analytic Approximation for the American Put Price

1983 • 187 citations

A General Distribution for Describing Security Price Returns

1987 • 168 citations

On the fundamental theorem of asset pricing with an infinite state space

1991 • 141 citations

Security Markets: Stochastic Models

1988 • 128 citations

Information structure and equilibrium asset prices

1985 • 90 citations

The Multinomial Option Pricing Model and Its Brownian and Poisson Limits

1989 • 80 citations

Option arbitrage and strategy with large price changes

1984 • 79 citations

On the valuation of American options

2005 • 6 citations

Deleted Work

1955 • 0 citations