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Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
14 references·1 citing·31 second hopsampled
Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (2013)Option pricing using the fast Fourier tra…Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Crashes, Volatility, and the …Option pricing with mean reversion and stochastic volatility (2008)Option pricing with mean reve…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Pricing Stock Options in a Ju…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (2019)An IMEX‐BDF2 compact scheme f…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)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)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
  • 2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options321 cited
  • 2008Option pricing with mean reversion and stochastic volatility87 cited

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  • 2019An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models38 cited