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Pricing American options when the underlying asset follows GARCH processes
16 references·6 citing·20 second hop
Pricing American options when the underlying asset follows GARCH processes (2005)Pricing American options when the underly…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model (2015)Long memory and regime switch…GARCH Option Valuation:Theory and Evidence (2013)GARCH Option Valuation:Theory…Pricing and hedging American-style options: a simple simulation-based approach (2010)Pricing and hedging American-…Volatility Components, Affine Restrictions and Non-Normal Innovations (2008)Volatility Components, Affine…Dynamic Programming Approach for Valuing Options in the GARCH Model (2008)Dynamic Programming Approach …GARCH option pricing: A semiparametric approach (2007)GARCH option pricing: A semip…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)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 (2005)Theory of Rational Option Pricing (1973)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

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2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • Cited by

    • 2015Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model66 cited
    • 2013GARCH Option Valuation:Theory and Evidence51 cited
    • 2007GARCH option pricing: A semiparametric approach44 cited
    • 2010Pricing and hedging American-style options: a simple simulation-based approach42 cited
    • 2008Volatility Components, Affine Restrictions and Non-Normal Innovations38 cited
    • 2008Dynamic Programming Approach for Valuing Options in the GARCH Model37 cited