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Integrated Time-Series Analysis of Spot and Option Prices
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Integrated Time-Series Analysis of Spot and Option Prices (1999)Integrated Time-Series Analysis of Spot a…Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification (2004)Option Pricing Using Fourier …Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (2004)Financial Asset Returns, Dire…An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994–1999 (2002)An options-based analysis of …The Importance of the Loss Function in Option Pricing (2001)The Importance of the Loss Fu…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2000)Stock Return Characteristics,…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Accelerating the Calibration of Stochastic Volatility Models (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options (2009)Prices of State-Contingent Claims Implicit in Option Prices (1978)The Pricing of Options on Assets with Stochastic Volatilities (1987)Risk, Return, and Equilibrium: Empirical Tests (1973)Martingales and arbitrage in multiperiod securities markets (1979)Prospect Theory: An Analysis of Decision under Risk (1979)
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  • 2004Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification46 cited
  • 2004Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics42 cited
  • 2002An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994–199939 cited
  • 2001The Importance of the Loss Function in Option Pricing35 cited
  • 2000Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options29 cited

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