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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
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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
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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
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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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Linked recursive preferences and optimality
Levental, Shlomo; Sinha, Sumit; Schroder, Mark D. - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 86-121
Persistent link: https://www.econbiz.de/10011550161
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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
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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
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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
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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
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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