Myron S. Scholes : Citation Profile

Are you Myron S. Scholes?

Stanford University

16

H index

19

i10 index

8773

Citations

RESEARCH PRODUCTION:

31

Articles

12

Papers

4

Chapters

RESEARCH ACTIVITY:

   42 years (1972 - 2014). See details.
   Cites by year: 208
   Journals where Myron S. Scholes has often published
   Relations with other researchers
   Recent citing documents: 604.    Total self citations: 4 (0.05 %)

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   Permalink: http://citec.repec.org/psc29
   Updated: 2022-08-06    RAS profile: 2020-02-06    
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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:

Veld, Chris (33)

Platen, Eckhard (32)

Christoffersen, Peter (30)

Renneboog, Luc (26)

Venegas-Martínez, Francisco (23)

Miao, Jianjun (21)

Tabak, Benjamin (21)

Chiarella, Carl (21)

Schlogl, Erik (19)

Turvey, Calum (19)

Carr, Peter (19)

Cites to:

Longstaff, Francis (13)

Stulz, René (12)

Jarrow, Robert (12)

Dybvig, Philip (11)

Chen, Zhiwu (11)

wright, mike (10)

Lo, Andrew (10)

Dybvig, Phillip (10)

Brennan, Michael (9)

Duffie, Darrell (9)

merton, robert (9)

Main data

Where Myron S. Scholes has published?

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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc7
Research Papers / Stanford University, Graduate School of Business2

Recent works citing Myron S. Scholes (2022 and 2021)

YearTitle of citing document
2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

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2021PRICING THE REVENUE INSURANCE OF SUGAR APPLE AND BANANA IN TAIWAN: AN ACTUARIAL APPROACH. (2021). Yao, Nian-Zu ; Lin, Matt ; Lu, Richard ; Yang, Min-Hsien. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:319735.

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2021A Study of Chinese A-Share Listed Companies: Effect of Corporate Valuation on the Investment Level. (2021). Zhanbiao, LI. In: International Journal of Science and Business. RePEc:aif:journl:v:5:y:2021:i:7:p:70-93.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. (2021). Devolder, Pierre ; Hieber, Peter ; Hanna, Vanessa. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021010.

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2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

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2021.

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2022Fifty years since Altman (1968): Performance of financial distress prediction models. (2022). Singh, Manish K ; Bhatia, Surbhi . In: Working Papers. RePEc:anf:wpaper:12.

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2022A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations. (2016). Hyndman, Cody Blaine ; Ngou, Polynice Oyono . In: Papers. RePEc:arx:papers:1410.8595.

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2022How brokers can optimally plot against traders. (2016). Lafond, Manuel . In: Papers. RePEc:arx:papers:1605.04949.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2021The Hull-White Model under Knightian Uncertainty about the Volatility. (2019). Holzermann, Julian. In: Papers. RePEc:arx:papers:1808.03463.

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2021Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2021Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility. (2019). Brigo, Damiano. In: Papers. RePEc:arx:papers:1904.01889.

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2021Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. (2019). Lin, Qian ; Holzermann, Julian. In: Papers. RePEc:arx:papers:1904.02930.

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2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2021Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272.

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2021The option pricing model based on time values: an application of the universal approximation theory on unbounded domains. (2019). Wang, Ming-Xi ; Qu, Yang. In: Papers. RePEc:arx:papers:1910.01490.

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2021Pricing contingent claims with short selling bans. (2019). Guo, Ivan ; Zhu, Song-Ping ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:1910.04960.

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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2022Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606.

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2021A Quantum algorithm for linear PDEs arising in Finance. (2019). Oumgari, Mugad ; Jacquier, Antoine ; Fontanela, Filipe. In: Papers. RePEc:arx:papers:1912.02753.

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2021Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651.

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2021Robust uncertainty sensitivity analysis. (2020). Drapeau, Samuel ; Bartl, Daniel ; Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:2006.12022.

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2021Quantum computing for Finance: state of the art and future prospects. (2020). Gambella, Claudio ; Egger, Daniel J ; Yndurain, Elena ; Woerner, Stefan ; Simonetto, Andrea ; Raymond, Rudy ; Mevissen, Martin ; McFaddin, Scott ; Marecek, Jakub. In: Papers. RePEc:arx:papers:2006.14510.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2021How Market Ecology Explains Market Malfunction. (2021). Farmer, Doyne J ; Calinescu, Anisoara ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2009.09454.

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2022The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2021Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry. (2020). Halperin, Igor. In: Papers. RePEc:arx:papers:2011.01417.

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2021Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes. (2020). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:2011.08275.

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2021Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance. (2020). Linden, Noah ; An, Dong ; Wang, Jiasu ; Shao, Changpeng ; Montanaro, Ashley ; Liu, Jin-Peng. In: Papers. RePEc:arx:papers:2012.06283.

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2022Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2021On the RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2101.03626.

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2021Twitter Subjective Well-Being Indicator During COVID-19 Pandemic: A Cross-Country Comparative Study. (2021). Porro, Giuseppe ; Iacus, Stefano ; Carpi, Tiziana ; Hino, Airo. In: Papers. RePEc:arx:papers:2101.07695.

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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2021Extensive networks would eliminate the demand for pricing formulas. (2021). Park, Kyunghyun ; Jeon, Jaegi ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2101.09064.

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2021Unraveling S&P500 stock volatility and networks -- An encoding and decoding approach. (2021). Hsieh, Fushing ; Wang, Xiaodong. In: Papers. RePEc:arx:papers:2101.09395.

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2021Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001.

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2021Asymmetric Tsallis distributions for modelling financial market dynamics. (2021). Devi, Sandhya . In: Papers. RePEc:arx:papers:2102.04532.

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2021Hedging of Financial Derivative Contracts via Monte Carlo Tree Search. (2021). Szehr, Oleg. In: Papers. RePEc:arx:papers:2102.06274.

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2021The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693.

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2021Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694.

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2021No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775.

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2021A closed-form approximation for pricing geometric Istanbul options. (2021). Boukhetala, Kamal ; Kacef, Mohamed Amine. In: Papers. RePEc:arx:papers:2103.07440.

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2021Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2103.07651.

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2022Online Learning with Radial Basis Function Networks. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2103.08414.

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2021Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302.

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2021The Efficient Hedging Frontier with Deep Neural Networks. (2021). O'Hara, John ; Ventre, Carmine ; Gong, Zheng. In: Papers. RePEc:arx:papers:2104.05280.

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2021A Bayesian analysis of gain-loss asymmetry. (2021). Terenzi, Giulia ; di Iura, Andrea Giuseppe. In: Papers. RePEc:arx:papers:2104.06044.

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2021Removing non-smoothness in solving Black-Scholes equation using a perturbation method. (2021). , Endah ; Susanto, Hadi ; Imron, Chairul ; Hakam, Amirul ; Mardianto, Lutfi. In: Papers. RePEc:arx:papers:2104.07839.

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2022A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686.

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2021Three little arbitrage theorems. (2021). Contreras, Mauricio ; Ortiz, Roberto . In: Papers. RePEc:arx:papers:2104.10187.

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2021A note on a PDE approach to option pricing under xVA. (2021). Baustian, Falko ; Vsv, Vladim'Ir ; Posp, Jan ; Fencl, Martin. In: Papers. RePEc:arx:papers:2105.00051.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2021Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas. (2021). Wendkouni, Yameogo ; Barro, Diakarya ; Mallam, Hassane Abba ; Saley, Bisso. In: Papers. RePEc:arx:papers:2105.10599.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2022Can we imitate stock price behavior to reinforcement learn option price?. (2021). Jin, Xin. In: Papers. RePEc:arx:papers:2105.11376.

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2021Neural Options Pricing. (2021). Delise, Timothy. In: Papers. RePEc:arx:papers:2105.13320.

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2022What Data Augmentation Do We Need for Deep-Learning-Based Finance?. (2021). Imajo, Kentaro ; Minami, Kentaro ; Ziyin, Liu. In: Papers. RePEc:arx:papers:2106.04114.

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2021Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128.

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2021Pricing American options with the Runge-Kutta-Legendre finite difference scheme. (2021). le Floc, Fabien. In: Papers. RePEc:arx:papers:2106.12049.

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2021The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452.

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2021Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2107.03712.

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2022Default Distances Based on the KMV-CEV Model. (2021). Su, Wen. In: Papers. RePEc:arx:papers:2107.10226.

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2021Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340.

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2022Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041.

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2021$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs. (2021). Kebiri, Omar ; Remita, Mohamed Riad ; Hartmann, Carsten ; Mezdoud, Zaineb. In: Papers. RePEc:arx:papers:2108.06965.

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2022Adaptive Gradient Descent Methods for Computing Implied Volatility. (2021). Yang, Tinggan ; Wang, Yihong ; Lu, Yixiao. In: Papers. RePEc:arx:papers:2108.07035.

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2021The Generalized Gamma distribution as a useful RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2108.07937.

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2021European option pricing under generalized fractional Brownian motion. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2108.12042.

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2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

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2021Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2021Gibbs posterior inference on a Levy density under discrete sampling. (2021). Martin, Ryan ; Wang, Zhe. In: Papers. RePEc:arx:papers:2109.06567.

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2021Automated Market-Making for Fiat Currencies. (2021). Sepp, Artur ; Lipton, Alex. In: Papers. RePEc:arx:papers:2109.12196.

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2021Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2021A Quantum Generative Adversarial Network for distributions. (2021). Kondratyev, Alexei ; Jacquier, Antoine ; Assouel, Amine. In: Papers. RePEc:arx:papers:2110.02742.

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2022Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021Reinforcement learning for options on target volatility funds. (2021). Polo, Stefano ; Pallavicini, Andrea ; Nastasi, Emanuele ; Daluiso, Roberto. In: Papers. RePEc:arx:papers:2112.01841.

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2021Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting. (2021). Yashaswi, Kumar. In: Papers. RePEc:arx:papers:2112.03193.

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2021Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2021Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

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2021Neural Networks for Delta Hedging. (2021). Kim, Joocheol ; Son, Guijin. In: Papers. RePEc:arx:papers:2112.10084.

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2021Mild to classical solutions for XVA equations under stochastic volatility. (2021). Kalinin, Alexander ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2112.11808.

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2022Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378.

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2022Arbitrage Problems with Reflected Geometric Brownian Motion. (2022). Hulley, Hardy ; Dowd, Kevin ; Buckner, Dean. In: Papers. RePEc:arx:papers:2201.05312.

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2022Stability of Crank-Nicolson compact scheme for convection-diffusion equations using matrix method. (2022). Patel, Kuldip Singh ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2201.05854.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Regime recovery using implied volatility in Markov modulated market model. (2022). Patalwala, Irvine Homi ; Mukherjee, Kedar Nath ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2201.10304.

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2022Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466.

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2022Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Hanzon, Bernard ; Trinh, Yen Thuan. In: Papers. RePEc:arx:papers:2202.00785.

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2022Black-Scholes Option Pricing Revisited?. (2022). Mink, Mark ; de Weert, Frans J. In: Papers. RePEc:arx:papers:2202.05671.

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2022Forecasting Stock Options Prices via the Solution of an Ill-Posed Problem for the Black-Scholes Equation. (2022). Klibanov, Michael V ; Kravchenko, Sergey M ; Golubnichiy, Kirill V ; Shananin, Aleksander A. In: Papers. RePEc:arx:papers:2202.07174.

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2022Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach. (2022). Hellmuth, Kathrin ; Klingenberg, Christian. In: Papers. RePEc:arx:papers:2202.07378.

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2022Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849.

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2022Quantum advantage for multi-option portfolio pricing and valuation adjustments. (2022). Yu, Jeong ; Rebentrost, Patrick. In: Papers. RePEc:arx:papers:2203.04924.

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2022General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations. (2022). , Hyong-Chol ; Choe, Tae-Song. In: Papers. RePEc:arx:papers:2203.05726.

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2022Stochastic integral representation of solutions to Hodge theoretic Poissons equations on Graphs, and cooperative value allocation of Shapley and Nash. (2022). Lim, Tongseok. In: Papers. RePEc:arx:papers:2203.06860.

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2022The Variable Volatility Elasticity Model from Commodity Markets. (2022). Gong, Fuzhou ; Wang, Ting. In: Papers. RePEc:arx:papers:2203.09177.

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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.
[Full Text][Citation analysis]		article14
1997Derivatives in a Dynamic Environment.(1997) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2000Crisis and Risk Management In: American Economic Review.
[Full Text][Citation analysis]		article63
2013Fischer Black In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
1995 Fischer Black..(1995) In: Journal of Finance.
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This paper has another version. Agregated cites: 1		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]		article148
1973Causes and Predictions of Rates of Return on Stocks and Bonds: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1974From Theory to a New Financial Product. In: Journal of Finance.
[Full Text][Citation analysis]		article6
1976Taxes and the Pricing of Options. In: Journal of Finance.
[Full Text][Citation analysis]		article16
1980 Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing. In: Journal of Finance.
[Full Text][Citation analysis]		article19
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]		article53
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: 53		paper
2013The Cost of Constraints: Risk Management, Agency Theory and Asset Prices In: Research Papers.
[Full Text][Citation analysis]		paper1
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1989Converting Corporations to Partnerships through Leverage: Theoretical and Practical Impediments In: NBER Working Papers.
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1989Employee Stock Ownership Plans and Corporate Restructuring: Myths and Realities In: NBER Working Papers.
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