SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Option pricing under model and parameter uncertainty using predictive densities
14 references·1 citing·32 second hop
Option pricing under model and parameter uncertainty using predictive densities (2002)Option pricing under model and parameter …Stochastic Differential Equations (2003)Stochastic Differential Equat…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Differential Equations (1998)Stochastic Differential Equat…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations (1993)A New Approach to Maximum Lik…Stochastic differential equations (3rd ed.): an introduction with applications (1992)Stochastic differential equat…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…Further Results on the Constant Elasticity of Variance Call Option Pricing Model (1982)Further Results on the Consta…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Parameter estimation risk in asset pricing and risk management: A Bayesian approach (2017)Parameter estimation risk in …The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)On modelling and pricing weather derivatives (2002)Multiscale Stochastic Volatility Asymptotics (2003)Saving and investing for early retirement: A theoretical analysis☆ (2006)The detection and estimation of long memory in stochastic volatility (1998)Maximum likelihood estimation of stochastic volatility models (2006)Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1998Stochastic Differential Equations714 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models611 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited
  • 1993A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations269 cited
  • 1992Stochastic differential equations (3rd ed.): an introduction with applications135 cited

Cited by

  • 2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach

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

18 cited