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Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market
16 references·1 citing·30 second hop
Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market (2003)Normality tests of option-implied risk-ne…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…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…The Maximum Entropy Distribution of an Asset Inferred from Option Prices (1996)The Maximum Entropy Distribut…SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Implied Binomial Trees (1994)Implied Binomial TreesStock market volatility and the information content of stock index options (1992)Stock market volatility and t…The Crash of '87: Was It Expected? The Evidence from Options Markets (1991)The Crash of '87: Was It Expe…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…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …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…Modelling the implied volatility surface: Does market efficiency matter? (2005)Modelling the implied volatil…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Prices of State-Contingent Claims Implicit in Option Prices (1978)Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness (1994)An Engine, Not a Camera (2006)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Modeling and Forecasting Realized Volatility (2003)A Macroeconomic Model with a Financial Sector (2014)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)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)
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References

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  • 2005Theory of rational option pricing7,183 cited
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  • 1991The Crash of '87: Was It Expected? The Evidence from Options Markets943 cited
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  • 1996The Maximum Entropy Distribution of an Asset Inferred from Option Prices

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331 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES321 cited
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    • 2005Modelling the implied volatility surface: Does market efficiency matter?16 cited