Myron S. Scholes : Citation Profile


Are you Myron S. Scholes?

Stanford University

17

H index

19

i10 index

9185

Citations

RESEARCH PRODUCTION:

31

Articles

12

Papers

5

Chapters

RESEARCH ACTIVITY:

   51 years (1972 - 2023). See details.
   Cites by year: 180
   Journals where Myron S. Scholes has often published
   Relations with other researchers
   Recent citing documents: 566.    Total self citations: 4 (0.04 %)

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   Permalink: http://citec.repec.org/psc29
   Updated: 2023-11-04    RAS profile: 2023-03-10    
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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 (31)

Renneboog, Luc (24)

Venegas-Martínez, Francisco (23)

Tabak, Benjamin (22)

Schlogl, Erik (21)

Miao, Jianjun (21)

Engle, Robert (19)

Wu, Liuren (19)

Härdle, Wolfgang (18)

Wang, Neng (18)

Cites to:

Longstaff, Francis (13)

Jarrow, Robert (12)

Chen, Zhiwu (11)

Lo, Andrew (11)

Dybvig, Philip (11)

Stulz, René (10)

Dybvig, Phillip (10)

Kau, James (9)

Duffie, Darrell (9)

Brennan, Michael (9)

Marcus, Alan (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 (2023 and 2022)


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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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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2023Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence. (2023). Segers, Johan ; Zhuman, Aigerim ; Portier, Franois ; Leluc, Remi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023019.

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2023Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito. (2023). Perillo, Marcelo Fabian. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:11-01.

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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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2023Financial Stability and Economic Growth in the Cemac Zone: A Panel Cointegration Approach. (2023). Mungong, Wilfred Kem ; Wabo, Vivien Narcisse. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2023:p:1-8.

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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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2022Super-Replication of the Best Pairs Trade in Hindsight. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1810.02444.

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2022Covers Rebalancing Option With Discrete Hindsight Optimization. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1903.00829.

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2022A Note on Universal Bilinear Portfolios. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1907.09704.

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

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

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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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2023Adaptive 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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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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2023Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Bitcoin 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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2023Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Pricing 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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2023Black-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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2023Stochastic 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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2022Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives. (2022). Ni, Ying ; Malyarenko, Anatoliy ; Nohrouzian, Hossein. In: Papers. RePEc:arx:papers:2204.10692.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform. (2022). Zhang, Wenjun ; Li, XI ; Kim, Jeong-Hoon ; Cao, Jiling. In: Papers. RePEc:arx:papers:2205.00573.

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2022Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process. (2022). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2205.00634.

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2023Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning. (2022). Yuan, Jun ; Wang, Zeyu ; Poulos, Zissis ; Hull, John ; Farghadani, Soroush ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2205.05614.

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2022Risks and Returns of Uniswap V3 Liquidity Providers. (2022). Wattenhofer, Roger ; Schertenleib, Eric ; Heimbach, Lioba. In: Papers. RePEc:arx:papers:2205.08904.

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2022European Power Option Pricing with Extended Vasic\v{e}k Interest Rate and Exponential Ornstein-Uhlenbeck Asset Process under Different Market Assumptions. (2022). Liu, Jingwei. In: Papers. RePEc:arx:papers:2205.10665.

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2022Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach. (2022). Maki, Daiki ; Jiang, YU ; Ota, Yasushi. In: Papers. RePEc:arx:papers:2205.11012.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205.

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2022The probability flow in the Stock market and Spontaneous symmetry breaking in Quantum Finance. (2022). Gomes, Sergio ; Lobo, Joao Alexandre ; Arraut, Ivan. In: Papers. RePEc:arx:papers:2206.07130.

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2023The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

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2022AlphaMLDigger: A Novel Machine Learning Solution to Explore Excess Return on Investment. (2022). Jin, Yifan ; Yuan, Zhehu ; Shen, Jimei. In: Papers. RePEc:arx:papers:2206.11072.

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2022Recursive Overbetting of a Satellite Investment Account. (2022). Garivaltis, Alex. In: Papers. RePEc:arx:papers:2206.11105.

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2022Exchange option pricing under variance gamma-like models. (2022). Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2207.00453.

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2022Simulating financial time series using attention. (2022). Osterrieder, Jorg ; Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00493.

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2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

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2022Asset Trading in Continuous Time: A Cautionary Tale. (2022). Zame, William R. In: Papers. RePEc:arx:papers:2207.03397.

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2022Mertons Default Risk Model for Private Company. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2208.01974.

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2023Signature-based validation of real-world economic scenarios. (2022). Jourdain, Benjamin ; Boumezoued, Alexandre ; Herv'e Andr`es, . In: Papers. RePEc:arx:papers:2208.07251.

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2022Exploring Price Accuracy on Uniswap V3 in Times of Distress. (2022). Wattenhofer, Roger ; Schertenleib, Eric ; Heimbach, Lioba. In: Papers. RePEc:arx:papers:2208.09642.

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2022Pricing Stocks with Trading Volumes. (2022). Zhang, Ran ; Lu, Yang ; Li, Yutian ; Duan, Ben. In: Papers. RePEc:arx:papers:2208.12067.

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2022Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks. (2022). Moln, G'Abor ; Csabai, Istv'an ; Kuns, S'Andor. In: Papers. RePEc:arx:papers:2208.14038.

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2023Compact schemes for variable coefficient convection-diffusion equations. (2022). Sahu, Pradeep Kumar ; Patel, Kuldip Singh ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2209.02873.

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2022Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685.

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2022ESG-valued discrete option pricing in complete markets. (2022). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2209.06276.

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2022Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing. (2022). , Bruno ; Bruno, ; Swishchuk, Anatoliy ; Guo, QI. In: Papers. RePEc:arx:papers:2209.07621.

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2023Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2023Physics-Informed Convolutional Transformer for Predicting Volatility Surface. (2022). Hong, Youngjoon ; Lee, Muhyun ; Bae, Hyeong-Ohk ; Yun, Seok-Bae ; Kim, Soohan. In: Papers. RePEc:arx:papers:2209.10771.

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2023Spectral Martingale Measures. (2022). Shirai, Yoshihiro . In: Papers. RePEc:arx:papers:2210.13671.

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2022Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453.

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2022Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2022Credit Default Swaps and the mixed-fractional CEV model. (2022). Araneda, Axel A. In: Papers. RePEc:arx:papers:2211.07564.

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2022Vanna-Volga pricing for single and double barrier FX options. (2022). Ovejero, Mart'In J. In: Papers. RePEc:arx:papers:2211.12652.

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2022Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices. (2022). Szwabi, Janusz ; Gruszka, Jaroslaw. In: Papers. RePEc:arx:papers:2211.14814.

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2022Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model. (2022). Reynoso, Bor ; Baltazar-Larios, Fernando ; Eslava, Laura. In: Papers. RePEc:arx:papers:2211.17220.

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2022Brazilian listed options with discrete dividends and the fast Laplace transform. (2022). Araujo, Maikon. In: Papers. RePEc:arx:papers:2212.01315.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2022Moate Simulation of Stochastic Processes. (2022). Mura, Michael E. In: Papers. RePEc:arx:papers:2212.08509.

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2023Fundamental theorem for the pricing of quantum assets. (2022). Rebentrost, Patrick ; Bao, Jinge. In: Papers. RePEc:arx:papers:2212.13815.

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2023Fast Barrier Option Pricing by the COS BEM Method in Heston Model. (2023). Sanfelici, S ; Ortiz-Gracia, L ; Guardasoni, C ; Aimi, A. In: Papers. RePEc:arx:papers:2301.00648.

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2022Quant 4.0: Engineering Quantitative Investment with Automated, Explainable and Knowledge-driven Artificial Intelligence. (2022). Shum, Heung-Yeung ; Ni, Lionel M ; Wang, Saizhuo ; Guo, Jian. In: Papers. RePEc:arx:papers:2301.04020.

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2023Acceptable Bilateral Gamma Parameters. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05333.

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2023The Combinational Mutation Strategy of Differential Evolution Algorithm for Pricing Vanilla Options and Its Implementation on Data during Covid-19 Pandemic. (2023). Sumarti, Novriana ; Sidarto, Kuntjoro Adji ; Febrianti, Werry. In: Papers. RePEc:arx:papers:2301.09261.

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2023Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method. (2023). Wei, Dongming ; Amanbek, Yerlan ; Erlangga, Yogi ; Kazbek, Rakhymzhan. In: Papers. RePEc:arx:papers:2301.10734.

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2023New developments in econophysics: Option pricing formulas. (2023). Alghalith, Moawia. In: Papers. RePEc:arx:papers:2301.11078.

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2023Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2023Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769.

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2023SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}. (2023). Reghai, Adil ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2302.08819.

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2023Liquidity Providers Greeks and Impermanent Gain. (2023). Nodari, Alessandro ; Bardoscia, Niccolo. In: Papers. RePEc:arx:papers:2302.11942.

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2023Preparing random state for quantum financing with quantum walks. (2023). Chang, Ching-Ray ; Liao, Shih-Wei ; Chen, Hao-Yuan ; Wang, Wei-Ting. In: Papers. RePEc:arx:papers:2302.12500.

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2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

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2023Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023Mitigating Decentralized Finance Liquidations with Reversible Call Options. (2023). Zhou, Liyi ; Gervais, Arthur ; Jovanovic, Philipp ; Ernstberger, Jens ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2303.15162.

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2023Robust Risk-Aware Option Hedging. (2023). Jaimungal, Sebastian ; Wu, David. In: Papers. RePEc:arx:papers:2303.15216.

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2023The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty. (2023). Riane, Nizar. In: Papers. RePEc:arx:papers:2303.16773.

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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]
article15
1997Derivatives in a Dynamic Environment.(1997) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2000Crisis and Risk Management In: American Economic Review.
[Full Text][Citation analysis]
article64
2013Fischer Black In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article0
1995 Fischer Black..(1995) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
1989STOCK INDEX FUTURES AND THE CRASH OF 87 In: Journal of Applied Corporate Finance.
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article0
1972The Valuation of Option Contracts and a Test of Market Efficiency. In: Journal of Finance.
[Full Text][Citation analysis]
article152
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]
article6
1976Taxes and the Pricing of Options. In: Journal of Finance.
[Full Text][Citation analysis]
article17
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.
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