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Hedging with Stochastic Local Volatility
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Hedging with Stochastic Local Volatility (2004)Hedging with Stochastic Local VolatilityDynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Do option markets correctly p…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Calibrating volatility surfaces via relative-entropy minimization (1997)Calibrating volatility surfac…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Implied Binomial Trees (1994)Implied Binomial TreesA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Value (1959)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)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)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)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
  • 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
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1997Calibrating volatility surfaces via relative-entropy minimization

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  • 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
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