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Using Implied Volatility to Measure Uncertainty About Interest Rates
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Using Implied Volatility to Measure Uncertainty About Interest Rates (2005)Using Implied Volatility to Measure Uncer…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Theory of rational option pricing (2005)Theory of rational option pri…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…The relation between implied and realized volatility (1998)The relation between implied …The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …The Limits of Arbitrage (1995)The Limits of ArbitrageA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The pricing of commodity contracts (1976)The pricing of commodity cont…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)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)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Measuring and Testing the Impact of News on Volatility (1993)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Option pricing: A simplified approach (1979)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data

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