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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
16 references·0 citing·41 second hop
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (2011)Asymptotic expansion for pricing options …Computing the market price of volatility risk in the energy commodity markets (2008)Computing the market price of…The volatility of temperature and pricing of weather derivatives (2007)The volatility of temperature…Singular Perturbations in Option Pricing (2003)Singular Perturbations in Opt…Multiscale Stochastic Volatility Asymptotics (2003)Multiscale Stochastic Volatil…Alternative models for stock price dynamics (2003)Alternative models for stock …Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…On modelling and pricing weather derivatives (2002)On modelling and pricing weat…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesMean reversion in real exchange rates: evidence and implications for forecasting (1996)Mean reversion in real exchan…Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Equilibrium Asset Prices (1988)Mean Reversion in Equilibrium…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Permanent and Temporary Components of Stock Prices (1988)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009)An overview of global gold market and gold price forecasting (2010)Stochastic Differential Equations: An Introduction with Applications. (1987)Arbitrage Theory in Continuous Time (1998)Stochastic Differential Equations (1998)Pricing Weather Derivatives (2004)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Numerical solution of stochastic differential equations (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Modeling and Forecasting Realized Volatility (2003)The General Theory of Employment, Interest and Money. (1936)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Stock Prices and Social Dynamics (1984)A Jump-Diffusion Model for Option Pricing (2002)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1988Mean reversion in stock prices1,896 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1996Mean Reversion in Stock Prices1,122 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility923 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 2002On modelling and pricing weather derivatives398 cited
  • 1988Mean Reversion in Equilibrium Asset Prices293 cited
  • 2003Multiscale Stochastic Volatility Asymptotics220 cited
  • 2003Singular Perturbations in Option Pricing187 cited
  • 1996Mean reversion in real exchange rates: evidence and implications for forecasting185 cited
  • 2007The volatility of temperature and pricing of weather derivatives172 cited

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2008
Computing the market price of volatility risk in the energy commodity markets
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