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Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility
16 references·8 citing·33 second hopsampled
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility (2003)Linear-Quadratic Jump-Diffusion Modelling…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Discrete time Wishart term structure models (2011)Discrete time Wishart term st…Saddlepoint approximations for affine jump-diffusion models (2008)Saddlepoint approximations fo…OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (2008)OPTIMALITY AND STATE PRICING …Why the Rotation Count Algorithm Works (2006)Why the Rotation Count Algori…Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and …Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Do Bonds Span Volatility Risk…Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility (2003)Identification and Estimation…Conditional Dependency of Financial Series: The Copula-Garch Model (2003)Conditional Dependency of Fin…The Pricing of Options and Corporate Liabilities (1973)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly

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594 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
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    • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
    • 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models45 cited
    • 2006Why the Rotation Count Algorithm Works39 cited
    • 2008Saddlepoint approximations for affine jump-diffusion models38 cited
    • 2003Conditional Dependency of Financial Series: The Copula-Garch Model32 cited
    • 2011Discrete time Wishart term structure models31 cited
    • 2003Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility29 cited
    • 2008OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION27 cited