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A Simplified Jump Process for Common Stock Returns

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1976Option pricing when underlying stock returns are discontinuous5,965 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1967A Compound Events Model for Security Prices441 cited

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1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps213 cited
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1998Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application180 cited
2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data176 cited
2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility174 cited
2006Properties of Realized Variance Under Alternative Sampling Schemes169 cited
2004Pricing Weather Derivatives167 cited
2008Oil price dynamics (2002–2006)148 cited
1996

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Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark

135 cited

2000Reading the smile: the message conveyed by methods which infer risk neutral densities117 cited

2006Why Does Implied Risk Aversion Smile?110 cited

2010Is Brownian motion necessary to model high-frequency data?109 cited

2017Electricity price modeling with stochastic time change99 cited

1994The distribution of stock returns: international evidence99 cited