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Pricing options under stochastic volatility: a power series approach
16 references·3 citing·29 second hop
Pricing options under stochastic volatility: a power series approach (2009)Pricing options under stochastic volatili…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Affine processes and applications in finance (2003)Affine processes and applicat…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…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…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…5 Stochastic volatility (1996)5 Stochastic volatilityA 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…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (2014)Pricing of vanilla and first-…Weak and strong Taylor methods for numerical solutions of stochastic differential equations (2010)Weak and strong Taylor method…Exchange option pricing under stochastic volatility: a correlation expansion (2009)Exchange option pricing under…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)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)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Analysis of Financial Time Series (2006)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)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)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
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
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  • 2003Affine processes and applications in finance1,044 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited

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2003
Stochastic Volatility for Lévy Processes
871 cited

Cited by

  • 2009Exchange option pricing under stochastic volatility: a correlation expansion39 cited
  • 2010Weak and strong Taylor methods for numerical solutions of stochastic differential equations31 cited
  • 2014Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results28 cited