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Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices
16 references·5 citing·42 second hop
Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices (2004)Maximum Likelihood Estimation of Asymmetr…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Back to the Future: Generatin…ARCH modeling in finance (1992)ARCH modeling in financeThe Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)General Equilibrium Pricing o…On Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Maximum Likelihood Estimation…Good News and Bad News: Representation Theorems and Applications (1981)Good News and Bad News: Repre…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…STOCK‐MARKET “PATTERNS” AND FINANCIAL ANALYSIS: METHODOLOGICAL SUGGESTIONS (1959)STOCK‐MARKET “PATTERNS” AND F…Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method (2019)Valuation of defer and reloca…Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes (2019)Optimal trading strategies fo…A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (2019)A flexible regime switching m…Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective (2015)Pricing and Hedging Variable …Pricing currency derivatives with Markov-modulated Lévy dynamics (2014)Pricing currency derivatives …COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Moral Hazard and Observability (1979)An Analysis of the Principal-Agent Problem (1983)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)The Theory of Incentives: The Principal-Agent Model (2001)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? 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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1981Good News and Bad News: Representation Theorems and Applications3,198 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
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  • 1959STOCK‐MARKET “PATTERNS” AND FINANCIAL ANALYSIS: METHODOLOGICAL SUGGESTIONS

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359 cited
  • 1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data355 cited
  • Cited by

    • 2015Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective34 cited
    • 2019Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method32 cited
    • 2019Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes31 cited
    • 2019A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns27 cited
    • 2014Pricing currency derivatives with Markov-modulated Lévy dynamics23 cited