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Option pricing under stochastic volatility and tempered stable Lévy jumps
16 references·1 citing·29 second hop
Option pricing under stochastic volatility and tempered stable Lévy jumps (2013)Option pricing under stochastic volatilit…Tempering stable processes (2006)Tempering stable processesOn changes of measure in stochastic volatility models (2006)On changes of measure in stoc…Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing (2005)Fat-Tailed and Skewed Asset R…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Probability distribution of returns in the Heston model with stochastic volatility* (2002)Probability distribution of r…A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001)A Simple Option Formula for G…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The variation of certain speculative prices (1997)The variation of certain spec…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Option pricing for stochastic volatility model with infinite activity Lévy jumps (2016)Option pricing for stochastic…Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)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)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Option pricing when underlying stock returns are discontinuous (1976)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Variance Risk Premiums (2008)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Empirical properties of asset returns: stylized facts and statistical issues (2001)A Jump-Diffusion Model for Option Pricing (2002)An Engine, Not a Camera (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2004Lévy Processes and Stochastic Calculus2,055 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2006Tempering stable processes545 cited
  • 2002Probability distribution of returns in the Heston model with stochastic volatility*326 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
  • 2005Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing240 cited

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  • 2006On changes of measure in stochastic volatility models51 cited
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    • 2016Option pricing for stochastic volatility model with infinite activity Lévy jumps16 cited