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An empirical model of volatility of returns and option pricing

2 references·4 citing·23 second hop

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited

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2007Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets77 cited
2004Applications of δ-function perturbation to the pricing of derivative securities29 cited
2007Martingale option pricing26 cited
2008Physical space and long-tail markets12 cited

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