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Option pricing under a normal mixture distribution derived from the Markov tree model
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2008Options, futures and other derivatives646 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited

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1966
Market Making and Reversal on the Stock Exchange
371 cited

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