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ArticleAlternative models for stock price dynamics

Mikhail Chernov2003

Article2003

Alternative models for stock price dynamics

Mikhail Chernov · A. Ronald Gallant · Éric Ghysels · George E. Tauchen

893 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2016Numerical solution of stochastic differential equations 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 2000Specification Analysis of Affine Term Structure Models 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns

Cited by

2005The Relative Contribution of Jumps to Total Price Variance 2002An Empirical Investigation of Continuous‐Time Equity Return Models 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics 2016The Price of Political Uncertainty: Theory and Evidence from the Option Market 2005Separating microstructure noise from volatility 2007

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2009Stochastic Volatilityother · 12 shared references 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Wellarticle · 11 shared references 2002Alternative Models for Stock Price Dynamicsarticle · 11 shared references 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Wellpreprint · 11 shared references 2008Option valuation with long-run and short-run volatility components☆article · 10 shared references 2010The Econometrics of Option Pricingchapter · 10 shared references

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Year2003

Typearticle

Published2003-04-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations893

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(03)00108-8

openalex_workW2083685602

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Model Specification and Risk Premia: Evidence from Futures Options

2008Microstructure Noise, Realized Variance, and Optimal Sampling

2015Modeling financial contagion using mutually exciting jump processes