Spanning and derivative-security valuation

This publication has 24 references indexed in Scilit:

• Fourier Transformation, Martingale, and the Pricing of Average-Rate Derivatives
  SSRN Electronic Journal, 1997
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
  Mathematical Finance, 1993
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
  The Review of Financial Studies, 1993
• A Theory of the Nominal Term Structure of Interest Rates
  The Review of Financial Studies, 1992
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
  The Review of Financial Studies, 1991
• From Characteristic Function to Distribution Function: A Simple Framework for the Theory
  Econometric Theory, 1991
• A nonlinear general equilibrium model of the term structure of interest rates
  Journal of Financial Economics, 1989
• A Theory of the Term Structure of Interest Rates
  Econometrica, 1985
• Options on the minimum or the maximum of two risky assets
  Journal of Financial Economics, 1982
• Theory of Rational Option Pricing
  The Bell Journal of Economics and Management Science, 1973