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A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
16 references·10 citing·33 second hop
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps (1996)A Continuous-Time Arbitrage-Pricing Model…Stochastic Differential Equations (2003)Stochastic Differential Equat…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ARCH modeling in finance (1992)ARCH modeling in financeStock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…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 valuation of options for alternative stochastic processes (1976)The valuation of options for …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Stochastic Volatility (2009)Stochastic VolatilityThe volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach (2008)The volatility structure of t…Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (2008)Moment based regression algor…On crises, crashes and comovements (2006)On crises, crashes and comove…A New Test for Jumps in Asset Prices (2005)A New Test for Jumps in Asset…The Market for Crash Risk (2002)The Market for Crash RiskThe Market for Crash Risk (2001)The Market for Crash RiskStock index futures markets: stochastic volatility models and smiles (2000)Stock index futures markets: …Value at Risk For Derivatives (1999)Value at Risk For DerivativesIndex Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates (1999)Index Option Pricing Models w…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models

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1,363 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • Cited by

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    • 2009Stochastic Volatility33 cited
    • 2008The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach22 cited
    • 1999Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates18 cited
    • 2006On crises, crashes and comovements18 cited
    • 2008Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models17 cited