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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,“TheoryofSpeculation,inP.Cootner(ed.)”,TheRandomCharacterofStockMarketPrices,Cambridge,MA:MITPress,pp.17~78.（二）一般均衡理论1、Arrow,Kenneth,andGerardDebreu,1954,“ExistenceofanEquilibriumforaCompetitiveEconomy,”Econom
2、etrica22,265–290.（三）证券组合选择理论1、Markowitz,M.,1952,“PortfolioSelection”,JournalofFinance,7(1),pp.77~91.（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.andT.Ma,2002,“RiskReductioninLargePortfolios:ARoleforPortfolioWeightConstraints”,WorkingPaper,No
3、rthwesternUniversity.（研究投资组合权重受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,“CapitalAssetPrices:ATheoryofCapitalMarketEquilibriumunderConditionsofrisk”,JournalofFinance,19,pp.425~442.2、Lintner,L.,1965,“TheValuationofRiskAssetsandtheSelectionofRiskyInvestments
4、inStockPortfoliosandCapitalBudgets”,ReviewofeconomicsandStatistics,47,pp.13~37.3、Mossin,J.,1965,“EquilibriuminaCapitalAssetMarket”,Econometrica,35,pp.768~783.（以上三篇文献独立地得出资本资产定价理论）4、Fama,E.andK.French,2004,“TheCapitalAssetPricingModel:TheoryandEvidence”,Wo
5、rkingpaper.（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,W.,1978,Investments,EnglewoodCliffs,NJ:Prentice-Hall.（衍生证券定价理论之一：二叉树模型）2、Cox,J.,S.RossandM.Rubinstein,1979,“OptionPricing:ASimplifiedApproach”,JournalofFinancialEconomics,7,pp.229~63.（对二叉树模型的扩展；二叉树的数值算法）3
6、、Black,F.andM.Scholes,1973,“ThePricingofOptionsandCorporateLiabilities”,JournalofPoliticalEconomy,81(3),pp.637~654.4、Merton,R.,1973a,“TheoryofRationalOptionPricing”,BellJournalofEconomicsandManagementSciences,4(1),pp.141~183.（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
7、价问题提出了严格的解决方法——偏微分方程法）5、Smith,C,1976,“OptionPricing:AReview”,JournalofFinancialEconomics,3,pp.3~51.6、Malliaris,A.,1983,“Ito'sCalculusinfinancialDecisionMaking”,SocietyofIndustrialandAppliedMathematicsReview,25,pp.481~496.（给出了偏微分方程的具体解过程）7、Duffie,D.J.,1992
8、,“DynamicAssetPricingTheory”,PrincetonUniversityPress,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的金融解释）8、Merton,R.,1997,“ApplicationsofOption–pricingTheory:Twenty-fiveYearsLater”,AmericanEconomicReview,88(3),pp.323~
