## 5,686 Citations

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

- Economics
- 1990

When the price process for a long-lived asset is of a mixed jump-diffusion type, pricing of options on that asset by arbitrage is not possible if trading is allowed only in the underlaying asset and…

### Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics

- MathematicsApplied Mathematical Modelling
- 2018

### Implementing Option Pricing Models When Asset Returns are Predictable

- Mathematics
- 1994

Option pricing formulas obtained from continuous-time no- arbitrage arguments such as the Black-Scholes formula generally do not depend on the drift term of the underlying asset's diffusion equation.…

### JUMP DIFFUSION OPTIONS WITH TRANSACTION COSTS

- Economics
- 2007

The classical option pricing theory developed by Black and Scholes assumes perfect markets. It relays on the arbitrage argument by which investors can use a replicating portfolio consisting of (in…

### Continuous time option pricing with scheduled jumps in the underlying asset

- Economics
- 2011

This paper introduces a new model of continuous time option pricing, which explicitly accounts for scheduled jumps caused by quarterly earnings announcements in the underlying stock. We present the…

### Pricing Stock and Bond Options when the Default-Free Rate is Stochastic

- EconomicsJournal of Financial and Quantitative Analysis
- 1989

Abstract We derive formulas for the valuation of call options on stocks and bonds when the defaultfree rate is stochastic. The formulas highlight the role of the correlation between the unanticipated…

### The Pricing of Options on Assets with Stochastic Volatilities

- Economics, Business
- 1987

One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price is…

### OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1

- Economics
- 1995

This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing…

## References

SHOWING 1-10 OF 38 REFERENCES

### The Pricing of Options and Corporate Liabilities

- EconomicsJournal of Political Economy
- 1973

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this…

### A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent-Claims Analysis

- Economics
- 1976

### AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL

- Economics
- 1973

An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime…

### THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS

- Economics
- 1965

### EQUILIBRIUM IN A CAPITAL ASSET MARKET

- Economics
- 1966

This paper investigates the properties of a market for risky assets on the basis of a simple model of general equilibrium of exchange, where individual investors seek to maximize preference functions…

### CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

- Economics
- 1964

One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/…

### Portfolio Analysis in a Stable Paretian Market

- Economics
- 1965

Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the…

### Capital Markets: Theory and Evidence

- Economics
- 1972

This paper is a review of the foundations and current state of mean-variance capital market theory. This work, whose foundations lie in the mean-variance portfolio model of Markowitz, deals with…