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Bayesian analysis of the Black-Scholes option price
16 references·0 citing·25 second hop
Bayesian analysis of the Black-Scholes option price (2007)Bayesian analysis of the Black-Scholes op…Theory of rational option pricing (2005)Theory of rational option pri…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Implied Binomial Trees (1994)Implied Binomial TreesConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Expected stock returns and volatility (1987)Expected stock returns and vo…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Value of Waiting to Invest (1982)The Value of Waiting to InvestThe stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Uncertainty about Government Policy and Stock Prices (2012)Fluctuations in Uncertainty (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometric Analysis of Cross Section and Panel Data (2001)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,544 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited

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1998
Implied Volatility Functions: Empirical Tests
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