SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal portfolios when volatility can jump
16 references·5 citing·32 second hopsampled
Optimal portfolios when volatility can jump (2007)Optimal portfolios when volatility can ju…Model Specification and Risk Premia: Evidence from Futures Options (2007)Model Specification and Risk …Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005)Optimal portfolios and Heston…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Dynamic derivative strategies (2003)Dynamic derivative strategiesDynamic Asset Allocation with Event Risk (2003)Dynamic Asset Allocation with…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Of Smiles and Smirks: A Term Structure Perspective (1999)Of Smiles and Smirks: A Term …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…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Volatility jumps and their determinants in REIT returns (2020)Volatility jumps and their de…Optimal investment under VaR-Regulation and Minimum Insurance (2018)Optimal investment under VaR-…Performance evaluation of optimized portfolio insurance strategies (2014)Performance evaluation of opt…An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts (2010)An extended CEV model and the…The Optimal Demand for Retail Derivatives (2008)The Optimal Demand for Retail…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Mean-Variance Asset Allocation (2010)Volatility‐Managed Portfolios (2017)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2007Model Specification and Risk Premia: Evidence from Futures Options630 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 1999Of Smiles and Smirks: A Term Structure Perspective371 cited
  • 2003Dynamic derivative strategies312 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2005Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility189 cited
  • Cited by

    • 2018Optimal investment under VaR-Regulation and Minimum Insurance49 cited
    • 2014Performance evaluation of optimized portfolio insurance strategies40 cited
    • 2020Volatility jumps and their determinants in REIT returns39 cited
    • 2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts37 cited
    • 2008The Optimal Demand for Retail Derivatives28 cited