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A GARCH option pricing model with α-stable innovations
16 references·1 citing·26 second hop
A GARCH option pricing model with α-stable innovations (2004)A GARCH option pricing model with α-stabl…Theory of rational option pricing (2005)Theory of rational option pri…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…The variation of certain speculative prices (1997)The variation of certain spec…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELStationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research (2008)Pricing Tranches of a CDO and…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited

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1979
The Pricing of Contingent Claims in Discrete Time Models
546 cited

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  • 2008Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research29 cited