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Распределение изменений цены акции
Blattberg R. and Gonedes N. A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices // Journal of Business, 47 (April 1974). – P. 244-280.
Fama E. F The Behaviour of Stock Prices // Journal of Business, 38 (January 1965). – P. 34-105.
Kon S. J. Models of Stock Returns – A Comparison // Journal of Finance, 39 (March 1984). – P. 147-165.
Rishardson M. and Smith T. A Test for Multivariate Normality in Stock Returns // Journal of Business, 66 (1993). – P. 295-321.
Модель Блэка-Шоулза
Black F. Fact and Fantasy in the Use of Options and Corporate Liabilities // Financial Analysis Journal, 31 (June/August 1975). – P. 36-41, 61-72.
Black F. How We Came Up with the Option Pricing Formula // Journal of Portfolio Management, 15, 2 (1989). – P. 4-8.
Black F. and Scholes M. The Pricing of Options and Corporate Liabilities // Journal of Political Economy, 81 (May/June 1973). – P. 637-659.
Merton R. C. Theory of Rational Option Pricing // Bell Journal of Economics and Management Science, 4 (Spring 1973). – P. 141-183.
Риск-нейтральные оценки
Cox J. С. and Ross S. A. The Valuation of Options for Alternative Stochastic Processes // Journal of Functional Economics, 3 (1976). – P. 145-166.
Smith C. W. Option Pricing: A Review // Journal of Financial Economics, 3 (1976). – P. 3-54.
О причинах волатильности
Fama E. E. The Behavior of Stock Market Prices – Journal of Business, 38 (January 1965).-P. 34-105.
French K. R. Stock Returns and the Weekend Effect // Journal of Financial Economics, 8 (March 1980). – P. 55-69.
French K. R. and Roll R. Stock Return Variances: The Arrival of Information and the Reaction of Traders // Journal of Financial Economics, 17 (September 1986). – P. 5-26.
Roll R. Orange Juice and Weather // American Economic Review, 74, 5 (december 1984). – P. 861-880.
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