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Asymptotic results for time-changed Lévy processes sampled at hitting times
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Asymptotic results for time-changed Lévy processes sampled at hitting times (2011)Asymptotic results for time-changed Lévy …Merton, Robert C. (2010)Merton, Robert C.Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Tempering stable processes (2006)Tempering stable processesA Tale of Two Time Scales (2005)A Tale of Two Time ScalesStochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (2016)Short-term asymptotics for th…Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (2016)Quadratic covariation estimat…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected stock returns and volatility (1987)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Pricing of Options on Assets with Stochastic Volatilities (1987)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Backward Stochastic Differential Equations in Finance (1997)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)
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  • 2016Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps19 cited
  • 2016Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise18 cited