Scinovex
article Open AccessTop 1% cited

Option pricing when underlying stock returns are discontinuous

Journal of Financial Economics · 1976 · Vol. 3(1-2) · pp. 125–144
Citations
6,048
FWCI
38.36
field-weighted impact
References
47
Percentile
100%
vs. same field & year
Citations per year
Cited by
A combination of dividend and Jump diffusion process on Heston model in deriving Black Scholes equation
International Journal of Statistics and Applied Mathematics · 2022 · 0 citations
Formulating black Scholes equation using a jump diffusion Heston’s model
International Journal of Statistics and Applied Mathematics · 2022 · 0 citations
Derivation of black Scholes equation using Heston’s model with dividend yielding asset
International Journal of Statistics and Applied Mathematics · 2022 · 0 citations
Variance Risk Premiums
Review of Financial Studies · 2008 · 1,381 citations
The Pricing of Options on Assets with Stochastic Volatilities
The Journal of Finance · 1987 · 3,855 citations
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Review of Financial Studies · 2003 · 987 citations
References
Equilibrium in a Capital Asset Market
Econometrica · 1966 · 4,890 citations
The Pricing of Options and Corporate Liabilities
Journal of Political Economy · 1973 · 29,215 citations
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
The Journal of Finance · 1974 · 11,005 citations
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
The Journal of Finance · 1970 · 15,646 citations
An Intertemporal Capital Asset Pricing Model
Econometrica · 1973 · 6,715 citations
<i>The Theory of Stochastic Processes</i>
Physics Today · 1966 · 3,363 citations
Citation Network

How this paper connects to the literature. Drag to explore, click any node to open that paper.