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Gaussian moving averages, semimartingales and option pricing
16 references·2 citing·30 second hop
Gaussian moving averages, semimartingales and option pricing (2003)Gaussian moving averages, semimartingales…Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Stock market prices and long-range dependence (1999)Stock market prices and long-…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model (1995)Stock Price Returns and the J…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Theory of Martingales (1989)Theory of MartingalesQuasimartingales, martingales locales, semimartingales et filtration naturelle (1977)Quasimartingales, martingales…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Limit theorems for power variations of ambit fields driven by white noise (2014)Limit theorems for power vari…Gaussian Moving Averages and Semimartingales (2008)Gaussian Moving Averages and …The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1989Theory of Martingales956 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2015Rational Theory of Warrant Pricing534 cited
  • 1999Stock market prices and long-range dependence374 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 1995Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model112 cited
  • 1977Quasimartingales, martingales locales, semimartingales et filtration naturelle

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106 cited

Cited by

  • 2008Gaussian Moving Averages and Semimartingales30 cited
  • 2014Limit theorems for power variations of ambit fields driven by white noise27 cited