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Smile from the past: A general option pricing framework with multiple volatility and leverage components
16 references·8 citing·27 second hop
Smile from the past: A general option pricing framework with multiple volatility and leverage components (2015)Smile from the past: A general option pri…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On estimating the expected return on the market (1980)On estimating the expected re…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Realized GARCH, CBOE VIX, and the Volatility Risk Premium (2022)Realized GARCH, CBOE VIX, and…Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components (2021)Volatility Bursts: A Discrete…VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump (2020)VIX valuation and its futures…Bitcoin option pricing with a SETAR-GARCH model (2020)Bitcoin option pricing with a…VIX term structure and VIX futures pricing with realized volatility (2018)VIX term structure and VIX fu…Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (2018)Closed-form variance swap pri…Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits* (2017)Non-affine GARCH Option Prici…Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach (2016)Option Pricing with the Reali…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study

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1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
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    • 2017Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*34 cited
    • 2021Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components30 cited
    • 2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump29 cited
    • 2022Realized GARCH, CBOE VIX, and the Volatility Risk Premium27 cited