An extension of the Black-Scholes model of security valuation

DOI10.1016/0022-0531(88)90160-3MaRDI QIDQ1106069zbMATH OpenOpenAlexFDO

Authors Darrell Duffie

Publication date 1988

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(88)90160-3

zbMATH Keywords

diffusion dividendmarket value of a securityprice processes

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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• Accurate Evaluation of Wiener Integrals
• Approximation of Wiener integrals
• Hermite expansions in Monte-Carlo computation
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• Martingales and arbitrage in multiperiod securities markets
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(16)

• A note on the terminal date security prices in a continuous time trading model with dividends
• A class of options with stochastic lives and an extension of the Black-Scholes formula
• Valuing flexibility: An impulse control framework
• An option pricing problem with the underlying stock paying dividends
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS
• Some problems related to the Black-Scholes type security markets
• General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
• A Stochastic Extension of the Miller‐Modigliani Framework¹
• scientific article; zbMATH DE number 1383617 (Why is no real title available?)
• Alternative Security Valuation Model: Theory and Empirical Results
• scientific article; zbMATH DE number 6402355 (Why is no real title available?)
• A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY
• Pricing a nontradeable asset and its derivatives.
• Optimal portfolio for a small investor in a market model with discontinuous prices

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