SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The α -hypergeometric stochastic volatility model
16 references·1 citing·41 second hop
The α -hypergeometric stochastic volatility model (2015)The α -hypergeometric stochastic volatili…Riding on the smiles (2011)Riding on the smilesMathematical Methods for Financial Markets (2010)Mathematical Methods for Fina…Consistent Modeling of SPX and VIX options (2008)Consistent Modeling of SPX an…Analysis, Geometry, and Modeling in Finance (2008)Analysis, Geometry, and Model…From stochastic calculus to mathematical finance : the Shiryaev festschrift (2006)From stochastic calculus to m…Exponential functionals of Brownian motion, II: Some related diffusion processes (2005)Exponential functionals of Br…Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Br…Option pricing with Mellin transnforms (2004)Option pricing with Mellin tr…A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (2004)A study of the Hartman–Watson…On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (2001)On certain Markov processes a…Laguerre Series for Asian and Other Options (2000)Laguerre Series for Asian and…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model (1989)Pricing European Currency Opt…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)Continuous-Time Markov Chain …Continuous Martingales and Brownian Motion (1991)Handbook of Brownian Motion — Facts and Formulae (1996)Continuous Martingales and Brownian Motion (1999)Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model (2012)Asymptotics for Rough Stochastic Volatility Models (2017)Exact Simulation of the SABR Model (2017)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Limit Theorems for Stochastic Processes (2003)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations (2020)The value of an Asian option (1995)The integral of geometric Brownian motion (2001)The log-normal approximation in financial and other computations (2004)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)The pricing of vulnerable options with double Mellin transforms (2014)Valuing vulnerable geometric Asian options (2016)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Financial Modelling with Jump Processes (2003)A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices (2010)The Econometrics of Option Pricing (2010)Option Pricing in Multivariate Stochastic Volatility Models of OU Type (2012)20 Testing option pricing models (1995)Multigrid for American option pricing with stochastic volatility (1999)The stochastic volatility in mean model: empirical evidence from international stock markets (2002)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2010Mathematical Methods for Financial Markets482 cited
  • 1989Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model289 cited
  • 2005Exponential functionals of Brownian motion, I: Probability laws at fixed time205 cited
  • 2000Laguerre Series for Asian and Other Options143 cited
  • 2011Riding on the smiles120 cited
  • 2004Option pricing with Mellin transnforms114 cited
  • 2008Analysis, Geometry, and Modeling in Finance96 cited
  • 2005Exponential functionals of Brownian motion, II: Some related diffusion processes94 cited
  • 2008Consistent Modeling of SPX and VIX options83 cited
  • 2001On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options77 cited
  • 2004A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

43 cited
  • 2006From stochastic calculus to mathematical finance : the Shiryaev festschrift38 cited
  • Cited by

    • 2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited