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No-Arbitrage Interpolation of the Option Price Function and Its Reformulation
16 references·0 citing·34 second hop
No-Arbitrage Interpolation of the Option Price Function and Its Reformulation (2004)No-Arbitrage Interpolation of the Option …Nonparametric option pricing under shape restrictions (2003)Nonparametric option pricing …Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Reconstructing the unknown local volatility function (1999)Reconstructing the unknown lo…Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (1998)Stochastic Implied Trees: Arb…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…The equity option volatility smile: an implicit finite-difference approach (1997)The equity option volatility …Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Implied Trinomial Tress of the Volatility Smile (1996)Implied Trinomial Tress of th…Implied Binomial Trees (1994)Implied Binomial TreesDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Prices of State-Contingent Claims Implicit in Option Prices (1978)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Ex Ante Skewness and Expected Stock Returns (2012)News implied volatility and disaster concerns (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Recovering Risk Aversion from Option Prices and Realized Returns (2000)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
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References

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  • 1996Recovering Probability Distributions from Option Prices1,086 cited
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  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
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  • 2003Nonparametric option pricing under shape restrictions342 cited
  • 1998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility256 cited
  • 1997The equity option volatility smile: an implicit finite-difference approach199 cited
  • 1996Implied Trinomial Tress of the Volatility Smile

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142 cited
  • 1999Reconstructing the unknown local volatility function133 cited
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