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How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market
16 references·16 citing·28 second hopsampled
How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market (1998)How important is the correlation between …Theory of rational option pricing (2005)Theory of rational option pri…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…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELImplied 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…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…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…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…The theory and practice of econometrics (1986)The theory and practice of ec…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…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…Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (2019)Idiosyncratic Jump Risk Matte…GARCH Option Valuation:Theory and Evidence (2013)GARCH Option Valuation:Theory…Consistent modeling of S&P 500 and VIX derivatives (2010)Consistent modeling of S&P 50…A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices (2010)A Multi-Horizon Comparison of…The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well (2009)The Shape and Term Structure …The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well (2009)The Shape and Term Structure …Risk minimization in stochastic volatility models: model risk and empirical performance (2009)Risk minimization in stochast…Option Valuation with Long-Run and Short-Run Volatility Components (2008)Option Valuation with Long-Ru…Model-free hedge ratios and scale-invariant models (2007)Model-free hedge ratios and s…Volatility options: Hedging effectiveness, pricing, and model error (2005)Volatility options: Hedging e…A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation (2005)A Comparison of Option Prices…Option Valuation with Conditional Skewness (2004)Option Valuation with Conditi…Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market (2003)Empirical comparison of alter…An examination of the effectiveness of static hedging in the presence of stochastic volatility (2003)An examination of the effecti…The Importance of the Loss Function in Option Pricing (2001)The Importance of the Loss Fu…Equity Home Bias: Can Information Cost Explain the Puzzle? (2001)Equity Home Bias: Can Informa…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Option pricing when underlying stock returns are discontinuous (1976)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)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
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited

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1990
ARCH models as diffusion approximations
943 cited

Cited by

  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well89 cited
  • 2019Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options81 cited
  • 2004Option Valuation with Conditional Skewness74 cited
  • 2003Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market71 cited
  • 2010A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices71 cited
  • 2001Equity Home Bias: Can Information Cost Explain the Puzzle?71 cited
  • 2009Risk minimization in stochastic volatility models: model risk and empirical performance70 cited
  • 2007Model-free hedge ratios and scale-invariant models64 cited
  • 2008Option Valuation with Long-Run and Short-Run Volatility Components62 cited
  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well55 cited
  • 2010Consistent modeling of S&P 500 and VIX derivatives51 cited
  • 2013GARCH Option Valuation:Theory and Evidence51 cited
  • 2005Volatility options: Hedging effectiveness, pricing, and model error44 cited
  • 2003An examination of the effectiveness of static hedging in the presence of stochastic volatility39 cited
  • 2005A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation39 cited
  • 2001The Importance of the Loss Function in Option Pricing35 cited