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On accurate and provably efficient GARCH option pricing algorithms
16 references·0 citing·32 second hop
On accurate and provably efficient GARCH option pricing algorithms (2005)On accurate and provably efficient GARCH …What good is a volatility model? (2001)What good is a volatility mod…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Pricing Options under General…Augmented GARCH (p,q) process and its diffusion limit (1997)Augmented GARCH (p,q) process…VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOne-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…ARCH modeling in finance (1992)ARCH modeling in financeMeasuring and Testing the Impact of News on Volatility (1991)Measuring and Testing the Imp…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)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)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options in a Path Simulation Model (2002)Term Structure Dynamics in Theory and Reality (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)New frontiers for arch models (2002)Striking oil: Another puzzle? (2008)Parametric and Nonparametric Volatility Measurement (2010)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Monte Carlo methods for security pricing (1997)Stochastic Volatility for Lévy Processes (2003)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Extreme Value Theory as a Risk Management Tool (1999)A multiple indicators model for volatility using intra-daily data (2005)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 2001What good is a volatility model?691 cited
  • 1987Modelling Financial Time Series.598 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • 1997Augmented GARCH (p,q) process and its diffusion limit370 cited
  • 1991Measuring and Testing the Impact of News on Volatility286 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 1999Pricing Options under Generalized GARCH and Stochastic Volatility Processes

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