Finance and Stochastics · 2001 · 58 citations · 18 references
BusinessEconomicsFinanceAsset PricingDerivativesFinancial EconomicsDerivative PricingDerivative SecuritiesDerivatives MarketsInvestmentPortfolio OptimizationPortfolio TheoryBounds On Derivative PricesFinancial OptimizationOptimal InvestmentOptimal Portfolio ChoiceOptimal Timing Of Investment
18
Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations
Social Sciences, Economics, Finance +16
Option pricing when underlying stock returns are discontinuous
Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text
Business, Finance, Asset Pricing +16
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text
The Variance Gamma Process and Option Pricing
Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations