An extension of the Black-Scholes model of security valuation

DOI10.1016/0022-0531(88)90160-3zbMath0649.90019OpenAlexW2045464652MaRDI QIDQ1106069

J. Darrell Duffie

Publication date: 1988

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(88)90160-3

zbMATH Keywords

price processesdiffusion dividendmarket value of a security

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (6)

On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved ⋮ An option pricing problem with the underlying stock paying dividends ⋮ MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Optimal portfolio for a small investor in a market model with discontinuous prices ⋮ Valuing flexibility: An impulse control framework

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Approximation of Wiener integrals
• Hermite expansions in Monte-Carlo computation
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Option pricing: A simplified approach
• Accurate Evaluation of Wiener Integrals

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