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An Autoregressive Conditional Binomial Option Pricing Model
16 references·4 citing·29 second hop
An Autoregressive Conditional Binomial Option Pricing Model (2002)An Autoregressive Conditional Binomial Op…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The variation of certain speculative prices (1997)The variation of certain spec…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…A new marked point process model for the federal funds rate target (2008)A new marked point process mo…Econometric analysis of financial trade processes by discrete mixture duration models (2006)Econometric analysis of finan…Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature (2006)Autoregressive Conditional Du…Alternative asset-price dynamics and volatility smile (2003)Alternative asset-price dynam…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1990Hedging of contingent claims under incomplete information736 cited

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  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • Cited by

    • 2003Alternative asset-price dynamics and volatility smile35 cited
    • 2006Econometric analysis of financial trade processes by discrete mixture duration models32 cited
    • 2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited
    • 2008A new marked point process model for the federal funds rate target18 cited