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Option Pricing With Model-Guided Nonparametric Methods
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Option Pricing With Model-Guided Nonparametric Methods (2009)Option Pricing With Model-Guided Nonparam…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…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…5 Stochastic volatility (1996)5 Stochastic volatilityImplied Binomial Trees (1994)Implied Binomial TreesA 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 financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…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 …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)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)Econometric Analysis of Cross Section and Panel Data (2001)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)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
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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
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 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
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited

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  • 19965 Stochastic volatility1,189 cited
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