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1、资产定价经典文献总结一、理论部分（一）开山之作Bachelier, L.,1900,1964, “Theory of Speculation, in P. Cootner (ed.)”, The Random Character of Stock Market Prices, Cambridge, MA:MIT Press, pp.1778.（二）一般均衡理论1、Arrow, Kenneth, and Gerard Debreu, 1954, “Existence of an Equilibrium for a Competitive Economy,” Econometrica 22, 26
2、5290.（三）证券组合选择理论1、Markowitz, M., 1952,“Portfolio Selection”, Journal of Finance, 7(1), pp.7791.（提出最优投资组合模型，以资产回报率的均值和方差作为选择的对象，不考虑个体的效用函数）2、Jaganmatham, B. and T. Ma , 2002,“Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints”,Working Paper, Northwestern University.（研究投资组合权重受
3、限制时的最优投资组合问题）（四）资本资产定价理论1、Sharpe, W., 1964,“Capital Asset Prices: A Theory of Capital Market Equilibrium under Conditions of risk”, Journal of Finance, 19, pp.425442.2、Lintner, L., 1965,“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Rev
4、iew of economics and Statistics, 47, pp.1337.3、Mossin, J., 1965, “Equilibrium in a Capital Asset Market”, Econometrica, 35, pp.768783.（以上三篇文献独立地得出资本资产定价理论）4、Fama, E. and K. French, 2004, “The Capital Asset Pricing Model: Theory and Evidence”, Working paper.（对 CAPM 的理论和实证研究作了综述性描述）（五）期权定价理论1、Sharpe,
5、W., 1978, Investments, Englewood Cliffs, NJ:Prentice- Hall.（衍生证券定价理论之一：二叉树模型）2、Cox, J., S. Ross and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach”, Journal of Financial Economics,7 , pp.22963.（对二叉树模型的扩展；二叉树的数值算法）3、Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Li
6、abilities”, Journal of Political Economy, 81 (3), pp.637654.4、Merton, R., 1973a,“Theory of Rational Option Pricing”,Bell Journal of Economics and Management Sciences, 4(1),pp.141183.（衍生证券定价之二：连续时间模型，利用随机分析第一次对期权定价问题提出了严格的解决方法偏微分方程法）5、Smith, C, 1976,“Option Pricing: A Review”, Journal of Financial Ec
7、onomics, 3, pp.351.6、Malliaris, A., 1983 ,“Ito s Calculus in financial Decision Making”, Society of Industrial and Applied Mathematics Review, 25, pp.481496.（给出了偏微分方程的具体解过程）7、Duffie, D. J., 1992, “Dynamic Asset Pricing Theory”,Princeton University Press, Princeton.（给出了 BSM 定价公式的数学基础以及金融解释，同时还给出了期权定价
8、的金融解释）8、Merton, R., 1997, “Applications of Option pricing Theory: Twenty- five Years Later”,American Economic Review, 88(3), pp.323349.9、Scholes, M, 1997,“Derivatives in a Dynamic Environment”,American Economic Review, 88(3), pp.350370.（两位学者在诺贝尔奖大会上对过去 30 年相关领域的发展回顾）10、Cox, J. and S. Ross, 1976, “Th
9、e Valuation of Options for Alternative Stochastic Processes”,Journal of Financial Economics, 3, pp.14566.（衍生证券定价之三：风险中性定价模型，引入了风险中性定价的概念）11、Harrison, J. and D. Kreps, 1979,“Martingales and Arbitrage in Multi - period Securities Markets”, Journal of Economic Theory, 20, pp.381408.12、Harrison, J. and
10、S. Pliska, 1981, “Martingale and Stochastic Integrals in the Theory of Continuous Trading”,Stochastic Process, Appl., 11, pp.215260.（建立了系统的风险中性定价理论框架以及市场无套利在其中的表现形式）13、Geman, H., N. El Karoui and J. Rochet, 1995,“Changes of Numeraire, Changes of Probability Measures and Pricing of Options”, Journal
11、of Applied Probability, 32, pp.443458.（早期的风险中性定价是以货币市场帐户为计量单位的，该文章认为我们可以选取不同的计量单位，对于每一个计量单位，都有一个概率与其相对应，从而有不同的定价模型）14、Roll, R., 1977,“An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends”,Journal of Financial Economics, 5, pp.251258.（美式期权与奇异期权定价之一：近似算法。利用三个欧式看涨期
12、权的复合证券来逼近以支付红利股票为标的物的美式看涨期权；提出了在不能得到闭式解情况下的定价方法）15、Geske, R. and H. Johnson, 1984, “The American Put Option Valued Analytically”, Journal of Finance, 39, pp.1511 1524.（把美式看跌期权价格的分析解表示成无穷序列的复合期权的价格）16、Barone - Adesi, G. and R. Whaley, 1987, “Efficient Analytical Approximation of American Option Value
13、s”, Journal of Finance, 42, pp.301320.（提出以商品和期货合约为标的物的美式看涨和看跌期权定价问题；提出了在不能得到闭式解情况下的定价方法）17、Bensoussan, A., 1984,“On the Theory of Option Pricing”,Acta. Appl. 2, pp.139158.（利用最优停时问题来研究美式期权的定价问题）18、Brennan, M. and E. Schwartz, 1978,“Finite Difference Methods and Jump Processes Arising in the Pricing o
14、f Contingent Claims: A Synthesis”, Journal of Financial and Quantitative Analysis, 13, pp.461474.（美式期权与奇异期权定价之二：数值算法。数值算法之一：有限差分方法）19、Boyle, P., 1977, “Options: A Monte Carlo Approach”,Journal of Financial Economics, 4, pp.323338.20、Boyle, P., M. Broadie and P. Glasserman, 1997,“Monte Carlo Methods
15、for Security Pricing”, Journal of Economics Dynamics and Control, 21, pp.12671321.21、Longstaff, F. and E. Schwartz, 2001,“Valuing American Options by Simulation: A Simple Least - squares Approach”,Review of Financial Studies, 14(1), pp.113147.（数值算法之二：Monte Carlo 方法）22、Boyle, P., 1988,“A Lattice Fram
16、ework for Option Pricing with Two State Variables”, Journal of Financial and Quantitative Analysis, 23, pp.112.23、Broadie, M. and P. Glasserman, 1997,“Pricing American-style Securities Using Simulation”, Journal of Economic Dynamics and Control, 21, pp.13231352.（数值算法之三：二叉树方法，其中文献 23 对各种方法进行了总结）24、Brennan, M. and E. Schwartz, 1985,“Evaluating Natural Resource Investments”, Journal of Business, 58, pp.13557.（自然资源投资的定价问题）25、Paddock, J., D. Siegel an
