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ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
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ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (2010)ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSI…The New Palgrave Dictionary of Economics (2008)The New Palgrave Dictionary o…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Stochastic Differential Equations (2003)Stochastic Differential Equat…Stochastic Differential Equations (2003)Stochastic Differential Equat…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Complete Models with Stochastic Volatility (1998)Complete Models with Stochast…The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…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…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…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…Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)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)The Cross‐Section of Volatility and Expected Returns (2006)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)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)Theory of rational option pricing (2005)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)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Colloquium : Statistical mechanics of money, wealth, and income (2009)Corruption and culture: An experimental analysis (2010)VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)
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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
  • 2003Stochastic Differential Equations2,978 cited
  • 2003Stochastic Differential Equations2,090 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2008The New Palgrave Dictionary of Economics872 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited

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1998
Complete Models with Stochastic Volatility
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