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PAPERS
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R.C. Merton (1971). Optimum
consumption and portfolio rules in a continuous-time model.
Journal of Economic Theory 3, 373-413.
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Black, F., and Scholes, M. 1973. "The
Pricing of Options and Corporate Liabilities." Journal of
Political Economy 81 (May-June) pp. 637-659.
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Merton, R., 1973. "Theory of
Rational Option Pricing." Bell Journal of Economics and
Management Science 4 (Spring) pp. 141-183.
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Harrison, M., and Kreps, D., 1979,
Martingales and arbitrage in multiperiod securities markets.
Journal of Economics Theory 20, 381-408.
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Cox, J., S. Ross, and M.
Rubinstein, 1979 (October), “Option Pricing: A Simplified
Approach,” Journal of Financial Economics, Vol. 7, p. 44-50
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Cox J. C., Ingersoll J. E., Ross
S.A., A Theory of The Term Structure of Interest Rates,
Econometrica, vol.53, no.2, 1985, 385-405.
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Heston, S. (1993). A Closed-Form
Solution for Options with Stochastic Volatility with
Applications to Bond and Currency Options. The Review of
Financial Studies, Vol. 6, No. 2.
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Bakshi, G., C. Cao, and Z. Chen,
1997, “Empirical Performance of Alternative Option Pricing
Models,” Journal of Finance 52, 2003-2049
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Duffie, D., J. Pan, and K.
Singleton (2000). Transform Analysis and Asset
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Pricing for Affine
Jump-Diffusions. Econometrica 68, 1343-1376.
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