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The Econometrics of Option Pricing · Study

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ChapterThe Econometrics of Option Pricing

René García2010

OA

Chaptergreen2010

The Econometrics of Option Pricing

René García · Éric Ghysels · Éric Renault

110 citations·0/0 files stored·Elsevier eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976The arbitrage theory of capital asset pricing 1979Option pricing: A simplified approach 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited by

2020A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization 2006Maximum likelihood estimation of the double exponential jump-diffusion process 2013Forecasting with Option-Implied Information 2016Generalized Method of Integrated Moments for High-Frequency Data 2018(Almost) Model‐Free Recovery 2005

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2004The Econometrics of Option Pricingpreprint · 85 shared references 2009Stochastic Volatilityother · 41 shared references 2013Forecasting with Option-Implied Informationchapter · 39 shared references 2005Volatility Forecastingreport · 36 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 34 shared references 2018Risk-Neutral Densities: A Reviewreview · 32 shared references

Details

Year2010

Typechapter

Published2010-01-01

VenueElsevier eBooks

Languageen

Citations110

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-0-444-50897-3.50012-2

openalex_workW2111154541

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Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics

2004Measuring the impact of jumps in multivariate price processes using bipower covariation

2019Volatility and Expected Option Returns