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Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options
10 references·2 citing·42 second hop
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options (1996)Estimation of risk-neutral and statistica…Implied volatility functions: empirical tests (2002)Implied volatility functions:…Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Reading the smile: the messag…Implied volatility functions in arbitrage-free term structure models (1994)Implied volatility functions …Implied Binomial Trees (1994)Implied Binomial TreesCONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…The theory and practice of econometrics (1986)The theory and practice of ec…The Valuation of Options on Futures Contracts (1985)The Valuation of Options on F…The pricing of commodity contracts (1976)The pricing of commodity cont…The Relation between Implied and Realised Probability Density Functions (2002)The Relation between Implied …Reading PIBOR futures options smiles: The 1997 snap election (2001)Reading PIBOR futures options…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market (2004)The Determinants of Credit Default Swap Premia (2004)Theory of rational option pricing (2005)A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)A Theory of the Term Structure of Interest Rates (1985)Counterparty Risk and the Pricing of Defaultable Securities (2000)The Term Structure of Interest Rates as a Random Field (2000)A Markov Model for the Term Structure of Credit Risk Spreads (2008)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)On the fundamental theorem of asset pricing with an infinite state space (1991)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Accounting for Biases in Black-Scholes (2004)Closed-form transformations from risk-neutral to real-world distributions (2007)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Forecasting Future Volatility from Option Prices (2000)Option Valuation with Conditional Skewness (2004)Multivariate asset models using Lévy processes and applications (2014)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Dividends and S&P 100 index option valuation (1992)Forecasting volatility in commodity markets (1995)Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options (1996)Foreign exchange market intervention and expectations: The yen/dollar exchange rate (2005)Why Does Implied Risk Aversion Smile? (2006)Forecasting with Option-Implied Information (2013)
this work references cited by second hop

References

  • 1986The theory and practice of econometrics4,342 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1994Implied volatility functions in arbitrage-free term structure models206 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests175 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 1985The Valuation of Options on Futures Contracts143 cited
  • 2000Reading the smile: the message conveyed by methods which infer risk neutral densities117 cited
  • 2002Implied volatility functions: empirical tests101 cited

Cited by

  • 2001Reading PIBOR futures options smiles: The 1997 snap election37 cited
  • 2002The Relation between Implied and Realised Probability Density Functions31 cited

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