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American option pricing with imprecise risk-neutral probabilities
16 references·5 citing·30 second hop
American option pricing with imprecise risk-neutral probabilities (2007)American option pricing with imprecise ri…Stochastic calculus for finance (2004)Stochastic calculus for finan…A multiperiod binomial model for pricing options in a vague world (2003)A multiperiod binomial model …New evidence on the implied-realized volatility relation (2002)New evidence on the implied-r…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …The relation between implied and realized volatility (1998)The relation between implied …Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (1998)Stochastic Implied Trees: Arb…On the pricing of contingent claims under constraints (1996)On the pricing of contingent …Implied Binomial Trees (1994)Implied Binomial TreesThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Fuzzy Sets and Systems - Theory and Applications (1980)Fuzzy Sets and Systems - Theo…The valuation of compound options (1979)The valuation of compound opt…Option pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Assessment of investment decisions in bulk shipping through fuzzy real options analysis (2021)Assessment of investment deci…Financing mode of energy performance contracting projects with carbon emissions reduction potential and carbon emissions ratings (2020)Financing mode of energy perf…Decision Making for Project Appraisal in Uncertain Environments: A Fuzzy-Possibilistic Approach of the Expanded NPV Method (2020)Decision Making for Project A…Nonparametric predictive inference for European option pricing based on the binomial tree model (2019)Nonparametric predictive infe…Patent valuation with a fuzzy binomial model (2011)Patent valuation with a fuzzy…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (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)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Irreversibility, Uncertainty, and Investment (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Variance Risk Premiums (2008)Expected Stock Returns and Variance Risk Premia (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Theory of rational option pricing (2005)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Portfolio Selection with Transaction Costs (1990)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)Empirical Performance of Alternative Option Pricing Models (1997)A Jump-Diffusion Model for Option Pricing (2002)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)A fuzzy extension of Saaty's priority theory (1983)A 2-tuple fuzzy linguistic representation model for computing with words (2000)Hesitant Fuzzy Linguistic Term Sets for Decision Making (2011)
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  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,115 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1994Implied Binomial Trees1,749 cited
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  • 1979The valuation of compound options1,107 cited
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  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
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  • 1996On the pricing of contingent claims under constraints191 cited
  • 2002New evidence on the implied-realized volatility relation92 cited
  • 2003

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A multiperiod binomial model for pricing options in a vague world
89 cited

Cited by

  • 2020Financing mode of energy performance contracting projects with carbon emissions reduction potential and carbon emissions ratings34 cited
  • 2020Decision Making for Project Appraisal in Uncertain Environments: A Fuzzy-Possibilistic Approach of the Expanded NPV Method24 cited
  • 2019Nonparametric predictive inference for European option pricing based on the binomial tree model17 cited
  • 2021Assessment of investment decisions in bulk shipping through fuzzy real options analysis16 cited
  • 2011Patent valuation with a fuzzy binomial model4 cited