Myron S. Scholes : Citation Profile


Are you Myron S. Scholes?

Stanford University

13

H index

19

i10 index

5943

Citations

RESEARCH PRODUCTION:

31

Articles

12

Papers

4

Chapters

RESEARCH ACTIVITY:

   42 years (1972 - 2014). See details.
   Cites by year: 141
   Journals where Myron S. Scholes has often published
   Relations with other researchers
   Recent citing documents: 509.    Total self citations: 3 (0.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc29
   Updated: 2018-08-18    RAS profile: 2017-07-01    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Myron S. Scholes.

Is cited by:

Christoffersen, Peter (28)

Platen, Eckhard (26)

Chiarella, Carl (21)

Miao, Jianjun (20)

Veld, Chris (18)

Tabak, Benjamin (18)

Venegas-Martínez, Francisco (17)

Renault, Eric (17)

Wu, Liuren (17)

Härdle, Wolfgang (16)

Turvey, Calum (16)

Cites to:

Jarrow, Robert (11)

Chen, Zhiwu (11)

Dybvig, Philip (11)

Longstaff, Francis (10)

Brennan, Michael (10)

Dybvig, Phillip (10)

Marcus, Alan (9)

merton, robert (9)

Kau, James (9)

Duffie, Darrell (9)

Stulz, René (8)

Main data


Where Myron S. Scholes has published?


Journals with more than one article published# docs
Journal of Finance8
The Journal of Business4
Journal of Financial Economics4
Journal of Political Economy2
Journal of Financial Transformation2
American Economic Review2

Working Papers Series with more than one paper published# docs
Research Papers / Stanford University, Graduate School of Business2

Recent works citing Myron S. Scholes (2018 and 2017)


YearTitle of citing document
2017Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الح. (2017). Saputra, Jumadil ; Sanusi, Nur Azura ; Kusairi, Suhal . In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:30:y:2017:i:2:p:135-157.

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2017Specifying An Efficient Renewable Energy Feed-in Tariff. (2017). Lyons, Sean ; Farrell, Niall ; Devine, Mel T. In: The Energy Journal. RePEc:aen:journl:ej38-2-farrell.

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2017Auction Schemes, Bidding Strategies and the Cost-Optimal Level of Promoting Renewable Electricity in Germany. (2017). Madlener, Reinhard ; Voss, Andreas . In: The Energy Journal. RePEc:aen:journl:ej38-si1-madlener.

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2017Earn-outs to bridge gap between negotiation parties – curse or blessing?. (2017). Toll, Christian ; Rolinck, Jan-Phillipp. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:1:p:103-116.

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2018IS PETROBRAS OPTIONS MARKET EFFICIENT? A STUDY USING THE DELTA-GAMMA NEUTRAL STRATEGY. (2018). Araujo, Gustavo ; Carmo, Ricardo Alves . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:126.

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2017The Convexity of the Free Boundary for the American put option. (2017). liu, Hsuan-Ku . In: Papers. RePEc:arx:papers:1304.5337.

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2018Relativistic Black-Scholes model. (2018). Trzetrzelewski, Maciej . In: Papers. RePEc:arx:papers:1307.5122.

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2017Hedging in a market with jumps - an FBSDE approach. (2017). Shamarova, Evelina ; Rui S'a Pereira, . In: Papers. RePEc:arx:papers:1309.2211.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017Introduction to Stochastic Differential Equations (SDEs) for Finance. (2017). Papanicolaou, A.. In: Papers. RePEc:arx:papers:1504.05309.

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2017American Options with Asymmetric Information and Reflected BSDE. (2017). Esmaeeli, Neda ; Imkeller, Peter. In: Papers. RePEc:arx:papers:1505.05046.

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2017The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew. (2017). Brigo, Damiano ; Rapisarda, Francesco ; PISANI, CAMILLA . In: Papers. RePEc:arx:papers:1512.04741.

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2018Symmetry reduction and exact solutions of the non-linear Black--Scholes equation. (2018). Kovalenko, Sergii ; Patsiuk, Oleksii . In: Papers. RePEc:arx:papers:1512.06151.

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2017Option Pricing in Markets with Unknown Stochastic Dynamics. (2017). Nizami, Elpida ; Gottschalk, Hanno . In: Papers. RePEc:arx:papers:1602.04848.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099.

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2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2017Financial Market Dynamics: Superdiffusive or not?. (2017). Devi, Sandhya . In: Papers. RePEc:arx:papers:1608.07752.

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2017Non-Gaussian analytic option pricing: a closed formula for the L\evy-stable model. (2017). Aguilar, Jean-Philippe ; Coste, Cyril . In: Papers. RePEc:arx:papers:1609.00987.

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2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

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2017On Origins of Bubbles. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.03769.

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2018Option pricing in exponential L\evy models with transaction costs. (2018). Grossinho, Maria ; Cantarutti, Nicola ; Do, Maria ; Guerra, Manuel . In: Papers. RePEc:arx:papers:1611.00389.

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2017Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function. (2017). Grossinho, Maria ; Do, Maria ; Faghan, Yaser Kord ; Sevcovic, Daniel . In: Papers. RePEc:arx:papers:1611.00885.

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2017Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1612.06665.

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2018Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618.

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2018Multinomial method for option pricing under Variance Gamma. (2018). Guerra, Joao ; Cantarutti, Nicola . In: Papers. RePEc:arx:papers:1701.00112.

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2017Chebyshev Reduced Basis Function applied to Option Valuation. (2017). Gaton, Victor ; de Frutos, Javier . In: Papers. RePEc:arx:papers:1701.01429.

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2017Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives. (2017). Chen, Wenting ; Qiu, Xinzi ; Du, Kai . In: Papers. RePEc:arx:papers:1701.01515.

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2017The valuation of European option with transaction costs by mixed fractional Merton model. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1702.00152.

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2017A confidence-based model for asset and derivative prices in the BitCoin market. (2017). Cretarola, Alessandra ; Talamanca, Gianna Figa . In: Papers. RePEc:arx:papers:1702.00215.

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2017Rough volatility: evidence from option prices. (2017). Pallavicini, Andrea ; Rosenbaum, Mathieu ; Mouti, Saad ; Livieri, Giulia . In: Papers. RePEc:arx:papers:1702.02777.

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2017Uncertain Volatility Models with Stochastic Bounds. (2017). Fouque, Jean-Pierre ; Ning, Ning . In: Papers. RePEc:arx:papers:1702.05036.

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2017The Wandering of Corn. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1704.01179.

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2017On a pricing problem for a multi-asset option with general transaction costs. (2017). Amster, Pablo ; Mogni, Andres P. In: Papers. RePEc:arx:papers:1704.02036.

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2017Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Bonollo, Michele ; Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca. In: Papers. RePEc:arx:papers:1704.03244.

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2017High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2017). During, Bertram ; Pitkin, Alexander . In: Papers. RePEc:arx:papers:1704.05308.

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2018Option pricing: A yet simpler approach. (2018). Talponen, Jarno ; Turunen, Minna . In: Papers. RePEc:arx:papers:1705.00212.

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2017Implied Stopping Rules for American Basket Options from Markovian Projection. (2017). Bayer, Christian ; Tempone, Ra'ul ; Happola, Juho . In: Papers. RePEc:arx:papers:1705.00558.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454.

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2017Singular Fourier-Pad\e Series Expansion of European Option Prices. (2017). Lung, Tat . In: Papers. RePEc:arx:papers:1706.06709.

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2017Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (2017). Grossinho, Maria ; Sevcovic, Daniel ; Kord, Yaser Faghan . In: Papers. RePEc:arx:papers:1707.00356.

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2018Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function. (2018). Grossinho, Maria ; Sevcovic, Daniel ; Kord, Yaser Faghan . In: Papers. RePEc:arx:papers:1707.00358.

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2017Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). Caccia, Massimo ; Bruno, . In: Papers. RePEc:arx:papers:1707.02019.

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2017Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach. (2017). Tarnopolski, Mariusz . In: Papers. RePEc:arx:papers:1707.03746.

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2017Second order stochastic differential models for financial markets. (2017). Zung, Nguyen Tien . In: Papers. RePEc:arx:papers:1707.05419.

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2017Explicit expressions for European option pricing under a generalized skew normal distribution. (2017). Doostparast, Mahdi. In: Papers. RePEc:arx:papers:1707.09609.

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2017Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855.

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2017An Option Pricing Model with Memory. (2017). Sancier, Flavia ; Mohammed, Salah . In: Papers. RePEc:arx:papers:1709.00468.

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2017Random walks and market efficiency in Chinese and Indian equity markets. (2017). Malafeyev, Oleg ; Kambekar, Kaustubh S ; Awasthi, Achal . In: Papers. RePEc:arx:papers:1709.04059.

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2017Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection. (2017). Huo, Xiaoguang ; Fu, Feng. In: Papers. RePEc:arx:papers:1709.04415.

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2017Arbitrage and Geometry. (2017). Naiman, Daniel Q ; Scheinerman, Edward R. In: Papers. RePEc:arx:papers:1709.07446.

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2017A sentiment-based model for the BitCoin: theory, estimation and option pricing. (2017). Cretarola, Alessandra ; Patacca, Marco ; Figa-Talamanca, Gianna. In: Papers. RePEc:arx:papers:1709.08621.

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2017Pricing derivatives in Hermite markets. (2017). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Mittnik, Stefan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:1709.09068.

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2017Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation. (2017). Yao, Jinglun ; Laurent, Sabine. In: Papers. RePEc:arx:papers:1710.00859.

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2017A series representation for the Black-Scholes formula. (2017). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1710.01141.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2017Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon. (2017). Dourban, Alon ; Yedidsion, Liron . In: Papers. RePEc:arx:papers:1711.03188.

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2017Closed-form Solutions of Relativistic Black-Scholes Equations. (2017). QU, Yanlin ; Rojas, Randall R. In: Papers. RePEc:arx:papers:1711.04219.

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2017Valuation of equity warrants for uncertain financial market. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1711.08356.

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2017Option Pricing with Orthogonal Polynomial Expansions. (2017). Ackerer, Damien ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1711.09193.

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2017Option pricing for Informed Traders. (2017). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Rachev, Svetlozar T ; Kim, Yong Shin. In: Papers. RePEc:arx:papers:1711.09445.

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2017Dynamic optimization of a portfolio. (2017). Malafeyev, Oleg ; Awasthi, Achal . In: Papers. RePEc:arx:papers:1712.00585.

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2017Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (2017). Aguilar, Jean-Philippe ; Korbel, Jan ; Coste, Cyril . In: Papers. RePEc:arx:papers:1712.04990.

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2017Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (2017). Bouchard, Bruno ; Sid-Ali, Ahmed ; Manai, Arij ; Chau, KI. In: Papers. RePEc:arx:papers:1712.07383.

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2017Trading Strategies with Position Limits. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1712.07649.

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2017Efficient European and American option pricing under a jump-diffusion process. (2017). Gaudenzi, Marcellino ; Stucchi, Patrizia ; Spangaro, Alice. In: Papers. RePEc:arx:papers:1712.08137.

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2018Valuation of Currency Options in Markets with a Crunch. (2018). Hatemi-J, Abdulnasser ; El-Khatib, Youssef. In: Papers. RePEc:arx:papers:1801.08346.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

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2018First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing. (2018). Kim, Youngshin . In: Papers. RePEc:arx:papers:1801.09362.

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2018Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander . In: Papers. RePEc:arx:papers:1802.01307.

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2018Asset Price Volatility and Price Extrema. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1802.04774.

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2018The Quotient of Normal Random Variables And Application to Asset Price Fat Tails. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1802.04778.

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2018Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

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2018Pricing Options with Exponential Levy Neural Network. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1802.06520.

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2018Fear Universality and Doubt in Asset price movements. (2018). Rivin, Igor. In: Papers. RePEc:arx:papers:1803.07138.

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2018Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Araneda, Axel A ; Villena, Marcelo J. In: Papers. RePEc:arx:papers:1803.10376.

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2018A derivation of the Black-Scholes option pricing model using a central limit theorem argument. (2018). Majumdar, Rajeshwari ; Sisti, Anthony ; Peng, Lowen ; Mariano, Phanuel. In: Papers. RePEc:arx:papers:1804.03290.

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2018Classes of elementary function solutions to the CEV model. I. (2018). Melas, Evangelos. In: Papers. RePEc:arx:papers:1804.07384.

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2018Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models. (2018). Patel, Kuldip Singh ; Mehra, Mani. In: Papers. RePEc:arx:papers:1804.07534.

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2018Analytical Path-Integral Pricing of Moving-Barrier Options under non-Gaussian Distributions. (2018). Catalao, Andre ; Rosenfeld, Rogerio . In: Papers. RePEc:arx:papers:1804.07852.

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2018Compact finite difference method for pricing European and American options under jump-diffusion models. (2018). Patel, Kuldip Singh ; Mehra, Mani. In: Papers. RePEc:arx:papers:1804.09043.

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2018Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime. (2018). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1805.00792.

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2018The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options. (2018). Guterding, Daniel ; Boenkost, Wolfram . In: Papers. RePEc:arx:papers:1805.04704.

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2018Algorithmic Trading with Fitted Q Iteration and Heston Model. (2018). Le, Son . In: Papers. RePEc:arx:papers:1805.07478.

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2018A Generalized Framework for Simultaneous Long-Short Feedback Trading. (2018). O'Brien, Joseph D ; Burke, Kevin. In: Papers. RePEc:arx:papers:1806.05561.

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2018A new approach for American option pricing: The Dynamic Chebyshev method. (2018). Glau, Kathrin ; Potz, Christian ; Mahlstedt, Mirco. In: Papers. RePEc:arx:papers:1806.05579.

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2018Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity. (2018). Matsuda, Takeru ; Takemura, Akimichi. In: Papers. RePEc:arx:papers:1806.07626.

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2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107.

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2018A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts. (2018). Tumasyan, Hovik. In: Papers. RePEc:arx:papers:1806.09198.

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2018Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2018). Basnarkov, Lasko ; Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor. In: Papers. RePEc:arx:papers:1807.01756.

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2018European Option Pricing with Stochastic Volatility models under Parameter Uncertainty. (2018). Cohen, Samuel N ; Tegn, Martin. In: Papers. RePEc:arx:papers:1807.03882.

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2018Portfolio Optimization with Nondominated Priors and Unbounded Parameters. (2018). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1807.05773.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2017The Impact of Corporate Social Responsibility on Default Risk: Empirical evidence from US Firms. (2017). Ashraf, Dawood ; Obaid, Asifa ; Rizwan, Muhammad Suhail . In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:36-70.

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2017DO DIVIDEND SHOCKS AFFECT EXCESS RETURNS: AN EXPERIMENTAL STUDY. (2017). Draganac, Dragana. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:214:p:45-86.

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More than 100 citations found, this list is not complete...

Works by Myron S. Scholes:


YearTitleTypeCited
1998Derivatives in a Dynamic Environment. In: American Economic Review.
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article10
1997Derivatives in a Dynamic Environment.(1997) In: Nobel Prize in Economics documents.
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This paper has another version. Agregated cites: 10
paper
2000Crisis and Risk Management In: American Economic Review.
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article40
2013Fischer Black In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article0
1995 Fischer Black..(1995) In: Journal of Finance.
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This paper has another version. Agregated cites: 0
article
1989STOCK INDEX FUTURES AND THE CRASH OF 87 In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article0
1972The Valuation of Option Contracts and a Test of Market Efficiency. In: Journal of Finance.
[Full Text][Citation analysis]
article103
1973Causes and Predictions of Rates of Return on Stocks and Bonds: Discussion. In: Journal of Finance.
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article0
1974From Theory to a New Financial Product. In: Journal of Finance.
[Full Text][Citation analysis]
article4
1976Taxes and the Pricing of Options. In: Journal of Finance.
[Full Text][Citation analysis]
article10
1980 Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing. In: Journal of Finance.
[Full Text][Citation analysis]
article15
1991 Stock and Compensation. In: Journal of Finance.
[Full Text][Citation analysis]
article4
2001Merton H. Miller: Memories of a Great Mentor and Leader In: Journal of Finance.
[Full Text][Citation analysis]
article0
1992FIRMS RESPONSES TO ANTICIPATED REDUCTIONS IN TAX RATES - THE TAX-REFORM ACT OF 1986 In: Journal of Accounting Research.
[Full Text][Citation analysis]
article28
1992Firms Responses to Anticipated Reductions in Tax Rates: The Tax Reform Act of 1986.(1992) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2013The Cost of Constraints: Risk Management, Agency Theory and Asset Prices In: Research Papers.
[Full Text][Citation analysis]
paper0
2014The Cost of Constraints: Risk Management, Agency Theory and Asset Prices In: Research Papers.
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paper1
1974The effects of dividend yield and dividend policy on common stock prices and returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article110
1989Decentralized investment banking : The case of discount dividend-reinvestment and stock-purchase plans In: Journal of Financial Economics.
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article13
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1989Employee Stock Ownership Plans and Corporate Restructuring: Myths and Realities In: NBER Working Papers.
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1982The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. In: The Journal of Business.
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