Simple Binomial Processes as Diffusion Approximations in Financial Models

JOURNAL ARTICLE published July 1990 in Review of Financial Studies

Authors: Daniel B. Nelson | Krishna Ramaswamy

Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics

JOURNAL ARTICLE published October 1995 in Review of Financial Studies

Authors: Teng-Suan Ho | Richard C. Stapleton | Marti G. Subrahmanyam

ARCH Models as Diffusion Approximations**Reprinted with permission from Nelson, D. “ARCH Models as Diffusion Approximations” Journal of Econometrics 45 (1990), Elsevier Science SA, Lausanne, Switzerland.

BOOK CHAPTER published 1996 in Modelling Stock Market Volatility

Authors: Daniel B. Nelson

Data-Snooping Biases in Tests of Financial Asset Pricing Models

JOURNAL ARTICLE published July 1990 in Review of Financial Studies

Authors: Andrew W. Lo | A. Craig MacKinlay

Erratum

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Discussion

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: Paul Pfleiderer

ARCH models as diffusion approximations

JOURNAL ARTICLE published July 1990 in Journal of Econometrics

Authors: Daniel B. Nelson

Discussion

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: Robert F. Engle

Discussion

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: James M. Poterba

Consistent Estimation of Cross-Sectional Models in Event Studies

JOURNAL ARTICLE published July 1990 in Review of Financial Studies

Authors: B. Espen Eckbo | Vojislav Maksimovic | Joseph Williams

Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach

JOURNAL ARTICLE published 2 July 1999 in Review of Financial Studies

Authors: Jérôme Detemple | Suresh Sundaresan

Mean Reversion and Consumption Smoothing

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: Fischer Black

The Stock Market and Investment

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: Robert J. Barro

A Dynamic Model for the Forward Curve

JOURNAL ARTICLE published January 2008 in Review of Financial Studies

Authors: Choong Tze Chua | Dean Foster | Krishna Ramaswamy | Robert Stine

Pricing Interest-Rate-Derivative Securities

JOURNAL ARTICLE published October 1990 in Review of Financial Studies

Authors: John Hull | Alan White

The Analytic Valuation of American Options

JOURNAL ARTICLE published October 1990 in Review of Financial Studies

Authors: In Joon Kim

Clearing and Settlement During the Crash

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: Ben S. Bernanke

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

JOURNAL ARTICLE published April 1988 in Review of Financial Studies

Authors: A. Craig MacKinlay | Krishna Ramaswamy

Asset Pricing Models and Financial Market Anomalies

JOURNAL ARTICLE published 2006 in Review of Financial Studies

Authors: Doron Avramov | Tarun Chordia

Stock Volatility and the Crash of ’87

JOURNAL ARTICLE published January 1990 in Review of Financial Studies

Authors: G. William Schwert