Optimal portfolio for a small investor in a market model with discontinuous prices

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

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

Business, Economics, Finance +12

The valuation of options for alternative stochastic processes

John C. Cox, Stephen A. Ross · Journal of Financial Economics · 1976 · 3K citations

Business, Economics, Finance +12