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New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
16 references·16 citing·22 second hopsampled
New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Mispricing, and …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…The variation of certain speculative prices (1997)The variation of certain spec…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…ARCH modeling in finance (1992)ARCH modeling in financeThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Théorie de la spéculation (1900)Théorie de la spéculationPRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)PRICING DISCRETELY MONITORED …Copulas for Finance - A Reading Guide and Some Applications (2007)Copulas for Finance - A Readi…Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of st…Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Specification Analysis of Opt…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Disentangling diffusion from jumps (2004)Disentangling diffusion from …The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)The Generalized Hyperbolic Mo…Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Portfolio Value‐at‐Risk with …Perpetual American Options Under Lévy Processes (2002)Perpetual American Options Un…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001)A Simple Option Formula for G…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1994Implied Binomial Trees1,749 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)

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Cited by

  • 2007Copulas for Finance - A Reading Guide and Some Applications426 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes321 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors284 cited
  • 2002The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures280 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 2005Empirical distributions of stock returns: between the stretched exponential and the power law?191 cited
  • 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
  • 2002Perpetual American Options Under Lévy Processes181 cited