Option pricing by Esscher transforms.
Data up to Jan 2025
Total Citations Per Year
Abstract
References (96)
Handbook of Mathematical Functions
1966 • 42,275 citations
An introduction to probability theory and its applications
1958 • 31,109 citations
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
Option pricing: A simplified approach
1979 • 6,128 citations
Option pricing when underlying stock returns are discontinuous
1976 • 5,962 citations
The variation of certain speculative prices
1997 • 4,766 citations
Martingales and arbitrage in multiperiod securities markets
1979 • 3,734 citations
Dynamic Asset Pricing Theory.
1993 • 3,202 citations
The valuation of options for alternative stochastic processes
1976 • 3,064 citations
Introduction to Mathematical Statistics.
1996 • 3,034 citations
Applied Probability and Queues.
1987 • 2,920 citations
Martingales and stochastic integrals in the theory of continuous trading
1981 • 2,903 citations
Theory of Financial Decision Making.
1988 • 2,039 citations
Continuous-Time Finance.
1991 • 1,946 citations
The Valuation of Uncertain Income Streams and the Pricing of Options
1976 • 1,727 citations
THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER
1978 • 1,524 citations
One-dimensional stable distributions
1986 • 1,310 citations
Options, Futures, and Other Derivative Securities.
1990 • 1,297 citations
The valuation of compound options
1979 • 1,130 citations
Fractal Market Analysis: Applying Chaos Theory to Investment and Economics
1994 • 998 citations
An introduction to mathematical risk theory
1979 • 944 citations
Stochastic Integration and Differential Equations : A New Approach
2014 • 756 citations
An Exact Bond Option Formula
1989 • 652 citations
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
1993 • 592 citations
Options on the minimum or the maximum of two risky assets
1982 • 564 citations
Models of Stock Returns—A Comparison
1984 • 561 citations
Multiscaling properties of spatial rainfall and river flow distributions
1990 • 523 citations
Capital Ideas: The Improbable Origins of Modern Wall Street.
1992 • 479 citations
Equivalent martingale measures and no-arbitrage in stochastic securities market models
1990 • 453 citations
General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
1990 • 421 citations
Options on the Maximum or the Minimum of Several Assets
1987 • 414 citations
Mean-Variance Hedging in Continuous Time
1991 • 413 citations
Two‐State Option Pricing
1979 • 402 citations
Variance-Optimal Hedging in Discrete Time
1995 • 356 citations
Numerical Evaluation of Multivariate Contingent Claims
1989 • 345 citations
An Economic Premium Principle
1980 • 341 citations
On the probability function in the collective theory of risk
1932 • 333 citations
Insurance risk models
1992 • 290 citations
Approximation pricing and the variance-optimal martingale measure
1996 • 282 citations
The safety loading of reinsurance premiums
1960 • 277 citations
Mean-Variance Hedging for General Claims
1992 • 266 citations
Stochastic Theory of a Risk Business
1970 • 235 citations
Asset pricing for general processes
1991 • 218 citations
Option Pricing: The American Put
1977 • 217 citations
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
1992 • 197 citations
The General Economic Premium Principle
1984 • 180 citations
Economics of Insurance
1991 • 179 citations
On Quadratic Cost Criteria for Option Hedging
1994 • 178 citations
The variance-optimal martingale measure for continuous processes
1996 • 173 citations
On Equilibrium Asset Price Processes
1993 • 163 citations
REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
1992 • 162 citations
Risk Theory with the Gamma Process
1991 • 155 citations
On the fundamental theorem of asset pricing with an infinite state space
1991 • 141 citations
Invisible Parameters in Option Prices
1993 • 129 citations
Risk Theory: The Stochastic Basis of Insurance.
1978 • 120 citations
Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies
1994 • 119 citations
On the Consistency of the Black-Scholes Model with a General Equilibrium Framework
1987 • 116 citations
Martingale Approach to Pricing Perpetual American Options
1994 • 114 citations
The No-Arbitrage Property under a Change of Numéraire (1995)
2008 • 106 citations
Computation of the bivariate normal integral
1978 • 104 citations
Futures and Options: Theory and Applications
1992 • 91 citations
On Viable Diffusion Price Processes of the Market Portfolio
1990 • 88 citations
MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
1996 • 84 citations
A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)
2008 • 83 citations
The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
1989 • 80 citations
Martingale densities for general asset prices
1992 • 78 citations
Prices in Financial Markets.
1992 • 68 citations
On a Theorem of De Finetti, Oddsmaking, and Game Theory
1972 • 65 citations
Reinsurance in arbitrage-free markets
1991 • 64 citations
Arbitrage Theory: A Mathematical Introduction
1984 • 64 citations
Two Stochastic Processes.
1975 • 64 citations
An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets
1990 • 61 citations
Arbitrage, Continuous Trading, and Margin Requirements
1987 • 54 citations
Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing
1994 • 41 citations
Martingale Measures For A Class of Right‐Continuous Processes
1993 • 35 citations
Risk Aversion and the Intertemporal Behavior of Asset Prices
1990 • 34 citations
The Integrability Problem of Asset Prices
1993 • 34 citations
Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
1991 • 25 citations
Premium Calculation Without Arbitrage? A note on a contribution by G. Venter
1992 • 23 citations
Controlling Interest Rate Risk: New Techniques and Applications for Money Management
1986 • 20 citations
Pricing the Quality Option In Treasury Bond Futures1
1992 • 19 citations
STATISTICAL TESTS OF THE LOGNORMAL DISTRIBUTION AS A BASIS FOR INTEREST RATE CHANGES
1991 • 19 citations
Option pricing theory and its applications
1987 • 18 citations
On complete securities markets and the martingale property of securities prices
1989 • 12 citations
A Synthetic Option Framework for Asset Allocation
1985 • 12 citations
OPTIONS ON BONDS AND APPLICATIONS TO PRODUCT PRICING
1985 • 11 citations
Option valuation : analyzing and pricing standardized option contracts
1991 • 11 citations
Valuation of derivative securities involving several assets using discrete time methods
1990 • 7 citations
Premium Calculation Without Arbitrage Author's Reply on the Note by P. Albrecht
1992 • 7 citations
On the existence and characterization of arbitrage–free measure in contingent claim valuation
1994 • 7 citations
Triangular Equilibrium and Arbitrade in the Market for Options to Exchange Two Assets
1993 • 6 citations
The financial derivatives reader
1992 • 6 citations
Actuarial Applications of Utility Functions
1987 • 5 citations
An Introduction to Special-Purpose Derivatives
1993 • 5 citations
Reserving for deferred capital gains tax (an application of option pricing theory)
1992 • 3 citations
Portfolio Insurance Strategien zur Wertsicherung von Aktien-Portefeuilles
1992 • 1 citations