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The Probability Density Function of Interest Rates Implied in the Price of Options
16 references·13 citing·24 second hop
The Probability Density Function of Interest Rates Implied in the Price of Options (2006)The Probability Density Function of Inter…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Theory of rational option pricing (2005)Theory of rational option pri…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELA long memory property of stock market returns and a new model (1993)A long memory property of sto…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…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…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Transmission of Monetary Policy Shocks from the Us to the Euro Area (2007)The Transmission of Monetary …Testing for Trend (2007)Testing for TrendA Policy-Sensible Core-Inflation Measure for the Euro Area (2007)A Policy-Sensible Core-Inflat…The Private and Social Return to Schooling in Italy (2006)The Private and Social Return…The Legacy of History for Development: The Case of Putnam's Social Capital (2006)The Legacy of History for Dev…The Causes and Consequences of Venture Capital Financing: An Analysis Based on a Sample of Italian Firms (2006)The Causes and Consequences o…Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks (2006)Do Market-Based Indicators An…Determinants of Long-Run Regional Productivity: The Role of R&D, Human Capital and Public Infrastructure (2006)Determinants of Long-Run Regi…Debt Maturity of Italian Firms (2006)Debt Maturity of Italian FirmsConvergences of Prices and Rates of Inflation (2006)Convergences of Prices and Ra…An Empirical Analysis of National Differences in the Retail Bank Interest Rates of the Euro Area (2006)An Empirical Analysis of Nati…Is Foreign Exchange Intervention Effective? Some Micro-Analytical Evidence from the Czech Republic (2005)Is Foreign Exchange Intervent…Banks' Participation in the Eurosystem Auctions and Money Market Integration (2003)Banks' Participation in the E…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Theory of Value (1959)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)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 Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Measuring and Testing the Impact of News on Volatility (1993)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited

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  • 1990ARCH models as diffusion approximations943 cited
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    • 2006Convergences of Prices and Rates of Inflation27 cited
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    • 2007A Policy-Sensible Core-Inflation Measure for the Euro Area20 cited