Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Implied ARCH models from options prices

16 references·16 citing·36 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1965The Behavior of Stock-Market Prices8,707 cited
1987Expected stock returns and volatility4,147 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
1986Modelling the persistence of conditional variances2,068 cited
1977Options: A Monte Carlo approach1,341 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
1990ARCH models as diffusion approximations943 cited
1987Option values under stochastic volatility: Theory and empirical estimates904 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1989An Econometric Analysis of Nonsynchronous Trading798 cited

Cited by

2004Which GARCH Model for Option Valuation?290 cited
1991Measuring and Testing the Impact of News on Volatility286 cited
2005Option valuation with conditional skewness282 cited
2008A GARCH Option Pricing Model with Filtered Historical Simulation274 cited
199520 Testing option pricing models269 cited
2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
1999Pricing Options under Generalized GARCH and Stochastic Volatility Processes240 cited
1998Smooth-Transition GARCH Models236 cited
2000Regime switching in foreign exchange rates:222 cited
2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
2006Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets180 cited
1999Long-term equity anticipation securities and stock market volatility dynamics171 cited
1996Stock market volatility and the crash of 1987: evidence from six emerging markets160 cited
1998A Closed-Form GARCH Option Pricing Model157 cited