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Static versus dynamic hedges: an empirical comparison for barrier options
16 references·2 citing·32 second hopsampled
Static versus dynamic hedges: an empirical comparison for barrier options (2006)Static versus dynamic hedges: an empirica…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…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…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The valuation of compound options (1979)The valuation of compound opt…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Static hedging and pricing of exotic options with payoff frames (2018)Static hedging and pricing of…An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options (2009)An Empirical Comparison of Op…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)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)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
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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
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 1979The valuation of compound options1,107 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited

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  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
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    • 2018Static hedging and pricing of exotic options with payoff frames36 cited
    • 2009An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options27 cited