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Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
16 references·0 citing·35 second hop
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (2012)Small-time expansions of the distribution…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Tempering stable processes (2006)Tempering stable processesEconometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Computing the implied volatility in stochastic volatility models (2004)Computing the implied volatil…What Type of Process Underlies Options? A Simple Robust Test (2003)What Type of Process Underlie…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (2002)Telling from Discrete Data Wh…Closed-Form Likelihood Expansions for Multivariate Diffusions (2002)Closed-Form Likelihood Expans…Asymptotics and calibration of local volatility models (2002)Asymptotics and calibration o…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Specification Tests in Econometrics (1978)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2006Tempering stable processes545 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
  • 2003What Type of Process Underlies Options? A Simple Robust Test296 cited
  • 2002Closed-Form Likelihood Expansions for Multivariate Diffusions285 cited
  • 2004Computing the implied volatility in stochastic volatility models222 cited
  • 2002Asymptotics and calibration of local volatility models203 cited
  • 2002Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion

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