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Reading PIBOR futures options smiles: The 1997 snap election
16 references·1 citing·22 second hop
Reading PIBOR futures options smiles: The 1997 snap election (2001)Reading PIBOR futures options smiles: The…Theory of rational option pricing (2005)Theory of rational option pri…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Implied Binomial Trees (1994)Implied Binomial TreesBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…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…What moves option-implied bond market expectations? (2005)What moves option-implied bon…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling Term Structures of Defaultable Bonds (1999)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)A Jump-Diffusion Model for Option Pricing (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited

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1998
Implied Volatility Functions: Empirical Tests
1,248 cited

Cited by

  • 2005What moves option-implied bond market expectations?28 cited