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A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
16 references·1 citing·27 second hop
A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES (1993)A SIMPLE OPTION PRICING MODEL WITH MARKOV…Theory of rational option pricing (2005)Theory of rational option pri…A 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…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Theory of Financial Decision Making. (1988)Theory of Financial Decision …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 values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Comparison Methods for Queues and Other Stochastic Models. (1986)Comparison Methods for Queues…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process (2004)A Pricing Process with Stocha…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Dynamic Asset Pricing Theory. (1993)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)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
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1986Comparison Methods for Queues and Other Stochastic Models.938 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited

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  • 1990Hedging of contingent claims under incomplete information736 cited
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    • 2004A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process18 cited