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S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
11 references·5 citing·30 second hop
S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula (1996)S&P 500 index option tests of Jarrow and …Theory of rational option pricing (2005)Theory of rational option pri…Implied Binomial Trees (1994)Implied Binomial TreesOptions, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…Valuation of American call options on dividend-paying stocks (1982)Valuation of American call op…Further Results on the Constant Elasticity of Variance Call Option Pricing Model (1982)Further Results on the Consta…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …An Empirical Examination of the Black-Scholes Call Option Pricing Model (1979)An Empirical Examination of t…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…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 Four‐moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation (2012)The Four‐moment Capital Asset…Recovering Risk Neutral Densities from Option Prices: A New Approach (2008)Recovering Risk Neutral Densi…The hidden martingale restriction in Gram‐Charlier option prices (2007)The hidden martingale restric…A Simple Option‐Pricing Formula (2002)A Simple Option‐Pricing Formu…Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach (2001)Estimating Implied PDFs From …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model (1989)20 Testing option pricing models (1995)SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)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)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)The valuation of compound options (1979)Option Prices as Predictors of Equilibrium Stock Prices (1982)On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Risk-Neutral Skewness: Evidence from Stock Options (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
  • 1982Valuation of American call options on dividend-paying stocks319 cited
  • 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited

Cited by

  • 2008Recovering Risk Neutral Densities from Option Prices: A New Approach44 cited
  • 2002A Simple Option‐Pricing Formula37 cited
  • 2001Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach36 cited
  • 2007The hidden martingale restriction in Gram‐Charlier option prices

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35 cited
  • 2012The Four‐moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation25 cited