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Risk-Neutral Parameter Shifts...
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ECONIS (ZBW)
14
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1
Computing the constant elasticity of variance option pricing formula
Schroder, Mark D.
- In:
The journal of finance : the journal of the American …
44
(
1989
)
1
,
pp. 211-219
Persistent link: https://www.econbiz.de/10001063236
Saved in:
2
A reduction method applicable to compound option formulas
Schroder, Mark D.
- In:
Management science : journal of the Institute for …
35
(
1989
)
7
,
pp. 823-827
Persistent link: https://www.econbiz.de/10001069579
Saved in:
3
Risk-neutral parameter shifts and derivatives pricing in discrete time
Schroder, Mark D.
- In:
The journal of finance : the journal of the American …
59
(
2004
)
5
,
pp. 2375-2401
Persistent link: https://www.econbiz.de/10002251590
Saved in:
4
Changes of numeraire for pricing futures, forwards, and options
Schroder, Mark D.
- In:
The review of financial studies
12
(
1999
)
5
,
pp. 1143-1163
Persistent link: https://www.econbiz.de/10001434633
Saved in:
5
A term structure model with preferences for the timing of resolution of uncertainty
Duffie, Darrell
- In:
Economic theory : official journal of the Society for …
9
(
1997
)
1
,
pp. 3-22
Persistent link: https://www.econbiz.de/10001335757
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6
Monotonicity of the stochastic discount factor and expected option returns
Chaudhuri, Ranadeb
;
Schroder, Mark D.
- In:
The review of financial studies
28
(
2015
)
5
,
pp. 1463-1505
Persistent link: https://www.econbiz.de/10011338195
Saved in:
7
Short-sale constraints, information acquisition, and asset prices
Nezafat, Mahdi
;
Schroder, Mark D.
;
Wang, Qinghai
- In:
Journal of economic theory
172
(
2017
),
pp. 273-312
Persistent link: https://www.econbiz.de/10011777061
Saved in:
8
An isomorphism between asset pricing models with and without linear habit formation
Schroder, Mark D.
;
Skiadas, Costis
- In:
The review of financial studies
15
(
2002
)
4
,
pp. 1189-1221
Persistent link: https://www.econbiz.de/10001716092
Saved in:
9
A parity result for American options
McDonald, Robert L.
;
Schroder, Mark D.
- In:
The journal of computational finance
1
(
1998
)
3
,
pp. 5-13
Persistent link: https://www.econbiz.de/10001632663
Saved in:
10
Optimal consumption and portfolio selection with stochastic differential utility
Schroder, Mark D.
;
Skiadas, Costis
- In:
Journal of economic theory
89
(
1999
)
1
,
pp. 68-126
Persistent link: https://www.econbiz.de/10001418784
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