The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.
Approximate option valuation for arbitrary stochastic processes
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Mathematical Methods of Statistics.
Geary, R. C., & Cramer, H. (1947) · The Economic Journal · doi:10.2307/2226151 · Cited by 5,927
The valuation of options for alternative stochastic processes
Cox, J. C., & Ross, S. A. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90023-4 · Cited by 2,934
The valuation of compound options
Geske, R. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90022-9 · Cited by 1,104
Fact and Fantasy in the Use of Options
Black, F. (1975) · Financial Analysts Journal · doi:10.2469/faj.v31.n4.36 · Cited by 1,013
The Pricing of Contingent Claims in Discrete Time Models
BRENNAN, M. J. (1979) · The Journal of Finance · doi:10.1111/j.1540-6261.1979.tb02070.x · Cited by 546
THE VALUATION OF AMERICAN PUT OPTIONS
Merton, R. C., Brennan, M. J., & Schwartz, E. S. (1977) · The Journal of Finance · doi:10.1111/j.1540-6261.1977.tb03284.x · Cited by 504
Displaced Diffusion Option Pricing
RUBINSTEIN, M. (1983) · The Journal of Finance · doi:10.1111/j.1540-6261.1983.tb03636.x · Cited by 247
Option Pricing: The American Put
Parkinson, M. (1977) · The Journal of Business · doi:10.1086/295902 · Cited by 208
Cited by
An Empirical Investigation of Continuous‐Time Equity Return Models
Andersen, T. G., Benzoni, L., & Lund, J. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00460 · Cited by 866
The dynamics of stochastic volatility: evidence from underlying and options markets
Jones, C. S. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00107-6 · Cited by 503
Of Smiles and Smirks: A Term Structure Perspective
Das, S. R., & Sundaram, R. K. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676279 · Cited by 369
SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
Corrado, C. J., & Su, T. (1996) · Journal of Financial Research · doi:10.1111/j.1475-6803.1996.tb00592.x · Cited by 317
Metadata
- Authors
- Jarrow, R., & Rudd, A.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1982-11
- Volume
- 10
- Issue
- 3
- Pages
- 347-369
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W1978032414
- Cited by
- 607
- References
- 14
- FWCI
- 3.76
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Approximate option valuation for arbitrary stochastic processes. https://app.cochat.ai/papers/10.1016/0304-405x(82)90007-1
- The paper
- Jarrow, R., & Rudd, A. (1982). Approximate option valuation for arbitrary stochastic processes. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(82)90007-1
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.