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Measure preserving derivatives and the pricing kernel puzzle
16 references·3 citing·35 second hop
Measure preserving derivatives and the pricing kernel puzzle (2011)Measure preserving derivatives and the pr…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)Returns of claims on the upsi…Mispricing of S&P 500 Index Options (2008)Mispricing of S&P 500 Index O…A GARCH Option Pricing Model with Filtered Historical Simulation (2008)A GARCH Option Pricing Model …Stochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Empirical pricing kernels (2002)Empirical pricing kernelsRecovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Theory of Marriage: Part I (1973)A Theory of Marriage: Part IOption market trading activity and the estimation of the pricing kernel: A Bayesian approach (2019)Option market trading activit…Mispriced index option portfolios (2019)Mispriced index option portfo…The pricing kernel puzzle in forward looking data (2017)The pricing kernel puzzle in …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)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)Assignment Problems and the Location of Economic Activities (1957)World Revolution and Family Patterns. (1964)Shadow Prices, Market Wages, and Labor Supply (1974)Marriage and Household Decision-Making: A Bargaining Analysis (1980)A Theory of Marriage Timing (1988)Collective Labor Supply and Welfare (1992)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Artificial intelligence and machine learning in finance: A bibliometric review (2022)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Time-changed Lévy processes and option pricing (2003)Option‐Implied Risk Aversion Estimates (2004)Risk and Volatility: Econometric Models and Financial Practice (2004)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Model-Free Implied Volatility and Its Information Content (2005)On estimating the expected return on the market (1980)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1973A Theory of Marriage: Part I3,566 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
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  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
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  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2008A GARCH Option Pricing Model with Filtered Historical Simulation274 cited
  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited
  • 2010Returns of claims on the upside and the viability of U-shaped pricing kernels☆

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192 cited
  • 2008Mispricing of S&P 500 Index Options167 cited
  • Cited by

    • 2017The pricing kernel puzzle in forward looking data38 cited
    • 2019Mispriced index option portfolios25 cited
    • 2019Option market trading activity and the estimation of the pricing kernel: A Bayesian approach23 cited