Stochastic processes of common stock returns : an empirical examination.

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The Advanced Theory of Statistics.

1978 • 6,960 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Théorie de la spéculation

1900 • 2,440 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Statistical Methods of Econometrics

1970 • 828 citations

The Distribution of Share Price Changes

1972 • 543 citations

Parameter Estimates for Symmetric Stable Distributions

1971 • 515 citations

A Compound Events Model for Security Prices

1967 • 463 citations

Some Properties of Symmetric Stable Distributions

1968 • 407 citations

Anticipated information releases reflected in call option prices

1979 • 346 citations

The Distribution of Stock Returns

1972 • 292 citations

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

1976 • 156 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

The Behavior of Random Variables with Non stationary Variance and the Distribution of Security Prices

2005 • 80 citations

Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes

1971 • 45 citations

Some Problems in the Identification and Estimation of Continuous time Systems from Discrete time Series

1976 • 3 citations