Rational Theory of Warrant Pricing

By P. Samuelson. 2015

384 citations recorded by the source corpus.

Subfields: Finance

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Valuing equity-linked death benefits in jump diffusion models (2013, background): “The economic significance of modeling stock price movements by geometric Brownian motion was recognized by Samuelson (1965).”
Display Advertising with Real-Time Bidding (RTB) and Behavioural Targeting (2016, background): “[Wang and Chen, 2012] and [Chen et al., 2015] proposed ad options between buying and non-buying the future impressions and consider the situation where the underlying price follows a geometric Brownian motion (GBM) [Samuelson, 1965].”
Toward uncertain finance theory (2013, methodology): “Samuelson, PA: Rational theory of warrant pricing.”
Highly comparative time-series analysis: the empirical structure of time series and their methods (2013, methodology): “dXt 1⁄4 mXtdtþ sXtdWt, is the same as geometric Brownian motion, which is used in financial modelling [10] (where Xt represents the time series, Wt denotes a Wiener process and other variables are parameters).”