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Nonparametric Option Pricing with No-Arbitrage Constraints
16 references·1 citing·31 second hop
Nonparametric Option Pricing with No-Arbitrage Constraints (2008)Nonparametric Option Pricing with No-Arbi…Theory of rational option pricing (2005)Theory of rational option pri…Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Option-Implied Risk-Neutral D…Nonparametric option pricing under shape restrictions (2003)Nonparametric option pricing …Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied exchange rate distributions: evidence from OTC option markets (1998)Implied exchange rate distrib…Financial markets as adaptive systems (1998)Financial markets as adaptive…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…Econometric models of option pricing errors (1997)Econometric models of option …Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark (1996)Using option prices to estima…Option Pricing and the Martingale Restriction (1995)Option Pricing and the Martin…Implied Binomial Trees (1994)Implied Binomial TreesMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Prices for State-Contingent Claims: Some Estimates and Applications (1978)Prices for State-Contingent C…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Wavelet-based option pricing: An empirical study (2018)Wavelet-based option pricing:…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Theory of Value (1959)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The pricing of commodity contracts (1976)Recovering Risk Aversion from Option Prices and Realized Returns (1996)Density forecasting: a survey (2000)Testing the stability of implied probability density functions (2002)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)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Theory of Rational Option Pricing (1973)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Model-Free Implied Volatility and Its Information Content (2005)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 2003Nonparametric option pricing under shape restrictions342 cited
  • 1978Prices for State-Contingent Claims: Some Estimates and Applications244 cited
  • 1995Option Pricing and the Martingale Restriction242 cited
  • 1998Implied exchange rate distributions: evidence from OTC option markets210 cited
  • 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark135 cited
  • 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
  • 1997Econometric models of option pricing errors

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122 cited
  • 1998Financial markets as adaptive systems118 cited
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    • 2018Wavelet-based option pricing: An empirical study23 cited