A Microeconomic Approach to Diffusion Models For Stock Prices

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Convergence of Probability Measures

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Noise Trader Risk in Financial Markets

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Théorie de la spéculation

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Proof that Properly Anticipated Prices Fluctuate Randomly

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Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets

1988 • 1,253 citations

Limit Theorems for Stochastic Processes

1987 • 1,242 citations

Stochastic Integration and Differential Equations

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Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Distributions in Statistics: Continuous Univariate Distributions

1971 • 1,032 citations

Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets

1991 • 1,024 citations

Ants, Rationality, and Recruitment

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ARCH models as diffusion approximations

1990 • 974 citations

On the Possibility of Speculation under Rational Expectations

1982 • 971 citations

Bulls, bears and market sheep

1990 • 611 citations

Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

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Differential‐Space

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Noise

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Random economies with many interacting agents

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Analytical treatment of one-dimensional Markov processes

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Simplifying portfolio insurance

1987 • 359 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

The Random Character of Stock Market Prices.

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The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

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Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

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The Foreign Exchange Market: A Random Walk with a Dragging Anchor

1988 • 272 citations

Price Destabilizing Speculation

1986 • 245 citations

A new class of markov processes for image encoding

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From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹

1992 • 117 citations

On the Consistency of the Black-Scholes Model with a General Equilibrium Framework

1987 • 116 citations

Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

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Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach

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Stability of strong solutions of stochastic differential equations

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The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists

1986 • 39 citations

The economics of uncertainty and information

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Characterizing the weak convergence of stochastic integrals

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Relevant Distributions for Insurance Prices in an Arbitrage Free Equilibrium

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