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On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1976Option pricing when underlying stock returns are discontinuous5,965 cited
1975Fact and Fantasy in the Use of Options1,021 cited
1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
1967A Compound Events Model for Security Prices441 cited

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1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
1999Of Smiles and Smirks: A Term Structure Perspective371 cited
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data355 cited
2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation328 cited
2010Jump risk, stock returns, and slope of implied volatility smile327 cited
1993Jump Diffusion Option Valuation in Discrete Time320 cited

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199520 Testing option pricing models269 cited

1993Option Valuation with Systematic Stochastic Volatility240 cited

1990Option listing and stock returns214 cited

1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps213 cited

2014Fact or friction: Jumps at ultra high frequency208 cited

1994Alternative Models for the Conditional Heteroscedasticity of Stock Returns194 cited

1998Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application180 cited

2004Empirical Characteristic Function Estimation and Its Applications178 cited

19967 GARCH models of volatility173 cited

2004Pricing Weather Derivatives167 cited