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REFERENCES

  • 1
    Robert G. Bartle. The Elements of Integration. New York: John Wiley and Sons, Inc., 1966.
  • 2
    F. Black and M. Scholes. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (May 1973), 63754.
  • 3
    Douglas Breeden. “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities.” Journal of Financial Economics 7 (1979), 26596.
  • 4
    John Cox, Jonathan Ingersoll, Jr., and Stephen Ross. “The Relation between Forward Prices and Futures Prices.” Journal of Financial Economics 9 (1981), 32146.
  • 5
    John Cox, Jonathan Ingersoll, Jr., and Stephen Ross. “An Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53 (1985), 36384.
  • 6
    John Cox and Stephen Ross. “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics 3 (1976), 14566.
  • 7
    John Cox and Mark Rubinstein. Options Markets. Englewood Cliffs, New Jersey: Prentice-Hall, Inc., 1985.
  • 8
    Richard Durrett. Brownian Motion and Martingales in Analysis. Wadsworth Advanced Books and Software, 1984.
  • 9
    Philip H. Dybvig. “A Positive Wealth Constraint Precludes Arbitrage Profits (e.g., from Doubling) in the Black-Scholes Model.” Unpublished manuscript, Princeton University, 1980.
  • 10
    J. Michael Harrison and David Kreps. “Martingales and Arbitrage in Multiperiod Securities Markets.” Journal of Economic Theory 20 (1979), 381408.
  • 11
    J. Michael Harrison and Stanley Pliska. “Martingales and Stochastic Integrals in the Theory of Continuous Trading.” Stochastic Processes and Their Applications 11 (1981), 21560.
  • 12
    Nobuyuki Ikeda and Shinzo Watanabe. Stochastic Differential Equations and Diffusion Processes. New York: North-Holland Publishing Company, 1981.
  • 13
    Jonathan Ingersoll, Jr. “Notes on the Theory of Financial Decisions: Class Lecture Notes”. Unpublished manuscript, Yale University, 1982.
  • 14
    David Kreps. “Three Essays on Capital Markets.” Technical Report No. 298, Institute for Mathematical Studies in the Social Sciences, 1979.
  • 15
    Robert C. Merton. “An Intertemporal Capital Asset Pricing Model.” Econometrica 41 (1973), 86787.
  • 16
    Robert C. Merton. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4 (Spring 1973), 14183.
  • 17
    Mark Rubinstein. “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978.” Journal of Finance 40 (June 1985), 45580.
  • 18
    R. Whaley. “Valuation of American Call Options on Dividend Paying Stocks: Empirical Tests.” Journal of Financial Economics 10 (1982), 2958.