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The Relation between Implied and Realised Probability Density Functions
16 references·1 citing·38 second hop
The Relation between Implied and Realised Probability Density Functions (2002)The Relation between Implied and Realised…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…The relation between implied and realized volatility (1998)The relation between implied …Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Implied Binomial Trees (1994)Implied Binomial TreesThe Informational Content of Implied Volatility (1993)The Informational Content of …The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Impact of Overnight Periods on Option Pricing (2007)The Impact of Overnight Perio…Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Theory of Value (1959)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited

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1995
Predicting Volatility in the Foreign Exchange Market
723 cited

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  • 2007The Impact of Overnight Periods on Option Pricing28 cited