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Empirical Martingale Simulation for Asset Prices
14 references·16 citing·23 second hop
Empirical Martingale Simulation for Asset Prices (1998)Empirical Martingale Simulation for Asset…Theory of rational option pricing (2005)Theory of rational option pri…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELA Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…A pricing method for options based on average asset values (1990)A pricing method for options …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The valuation of options for alternative stochastic processes (1976)The valuation of options for …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…Estimation of financial agent-based models with simulated maximum likelihood (2017)Estimation of financial agent…Estimating and Using GARCH Models with VIX Data for Option Valuation (2012)Estimating and Using GARCH Mo…Tempered stable and tempered infinitely divisible GARCH models (2010)Tempered stable and tempered …Jump and volatility risk premiums implied by VIX (2010)Jump and volatility risk prem…Behavioral heterogeneity in the option market (2010)Behavioral heterogeneity in t…Volatility Components, Affine Restrictions, and Nonnormal Innovations (2009)Volatility Components, Affine…An empirical comparison of GARCH option pricing models (2006)An empirical comparison of GA…Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Mod…Executive stock options and incentive effects due to systematic risk (2004)Executive stock options and i…ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)ANNIVERSARY ARTICLE: Option P…A GARCH Option Pricing Model with Filtered Historical Simulation (2004)A GARCH Option Pricing Model …Option pricing under regime switching (2002)Option pricing under regime s…Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach (2001)Pricing Hang Seng Index optio…Conditioning on One-Step Survival for Barrier Option Simulations (2001)Conditioning on One-Step Surv…Arbitrage-free discretization of lognormal forward Libor and swap rate models (2000)Arbitrage-free discretization…The Pre-Commitment Approach: Using Incentives to Set Market Risk Capital Requirements (1997)The Pre-Commitment Approach: …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited

Cited by

  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited

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2004
Option Pricing: Valuation Models and Applications
164 cited
  • 2010Jump and volatility risk premiums implied by VIX140 cited
  • 2006An empirical comparison of GARCH option pricing models134 cited
  • 2002Option pricing under regime switching122 cited
  • 2010Tempered stable and tempered infinitely divisible GARCH models99 cited
  • 2012Estimating and Using GARCH Models with VIX Data for Option Valuation98 cited
  • 2009Volatility Components, Affine Restrictions, and Nonnormal Innovations91 cited
  • 1997The Pre-Commitment Approach: Using Incentives to Set Market Risk Capital Requirements89 cited
  • 2010Behavioral heterogeneity in the option market83 cited
  • 2000Arbitrage-free discretization of lognormal forward Libor and swap rate models76 cited
  • 2001Conditioning on One-Step Survival for Barrier Option Simulations74 cited
  • 2004A GARCH Option Pricing Model with Filtered Historical Simulation73 cited
  • 2001Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach71 cited
  • 2004Executive stock options and incentive effects due to systematic risk65 cited
  • 2017Estimation of financial agent-based models with simulated maximum likelihood64 cited