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A simplified pricing model for volatility futures
16 references·1 citing·36 second hopsampled
A simplified pricing model for volatility futures (2010)A simplified pricing model for volatility…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Alternative models for stock price dynamics (2003)Alternative models for stock …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …The Investor Fear Gauge (2000)The Investor Fear GaugeImplied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…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…Instantaneous squared VIX and VIX derivatives (2019)Instantaneous squared VIX and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)On estimating the expected return on the market (1980)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2003Alternative models for stock price dynamics893 cited

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  • 2009Testing for jumps in a discretely observed process587 cited
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    • 2019Instantaneous squared VIX and VIX derivatives22 cited