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Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
16 references·0 citing·25 second hop
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (2014)Pricing of vanilla and first-generation e…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…An Analysis of Default Correlations and Multiple Defaults (2001)An Analysis of Default Correl…The Term Structure of Implied Volatility (2000)The Term Structure of Implied…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…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 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…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (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
  • 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
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2000Introduction and Summary of Results (Excerpt)516 cited
  • 2000The Term Structure of Implied Volatility516 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

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460 cited
  • 2001An Analysis of Default Correlations and Multiple Defaults313 cited
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