Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities

Theory of Rational Option Pricing

1973 • 7,693 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 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

Banach Lattices and Positive Operators

1974 • 2,294 citations

Diffusions, Markov processes, and martingales

1979 • 1,211 citations

Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

1972 • 737 citations

On Square Integrable Martingales

1967 • 633 citations

The Pricing of Options and Corporate Liabilities

2019 • 368 citations

Statistics of random processes I: General theory

1980 • 232 citations

Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model

1982 • 108 citations

Information structure and equilibrium asset prices

1985 • 90 citations