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The performance of popular stochastic volatility option pricing models during the subprime crisis
14 references·0 citing·36 second hop
The performance of popular stochastic volatility option pricing models during the subprime crisis (2011)The performance of popular stochastic vol…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Which Daily Price is Less Noisy? (2006)Which Daily Price is Less Noi…Theory of rational option pricing (2005)Theory of rational option pri…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…The importance of the loss function in option valuation (2003)The importance of the loss fu…Evaluating the predictive accuracy of volatility models (2001)Evaluating the predictive acc…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…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…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Realized Variance and Market Microstructure Noise (2006)Making and Evaluating Point Forecasts (2011)The VIX, the variance premium and stock market volatility (2014)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting: theory and practice (2022)The Pricing of Options and Corporate Liabilities (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)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Parametric and Nonparametric Volatility Measurement (2010)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Modeling and Forecasting Realized Volatility (2003)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,348 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2000A Closed-Form GARCH Option Valuation Model1,001 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements552 cited
  • 2003The importance of the loss function in option valuation398 cited
  • 2001Evaluating the predictive accuracy of volatility models224 cited
  • 2006Which Daily Price is Less Noisy?19 cited

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