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Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
16 references·3 citing·33 second hop
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach (2002)Calibration of Jump-Diffusion Option Pric…Stochastic Finance (2004)Stochastic FinanceDynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options (1993)Jumps and Stochastic Volatili…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Exchange Options Under Jump-Diffusion Dynamics (2008)Exchange Options Under Jump-D…Adaptive Weak Approximation of Diffusions with Jumps (2008)Adaptive Weak Approximation o…A Finite Difference Scheme for Option Pricing in Jump-Diffusion and Exponential Levy Models (2004)A Finite Difference Scheme fo…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Continuous Martingales and Brownian Motion (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Estimating quadratic variation using realized variance (2002)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Theory of Rational Option Pricing (1973)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)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)A Theory of the Term Structure of Interest Rates (1985)The Impact of Jumps in Volatility and Returns (2003)Exponential Hedging and Entropic Penalties (2002)The cumulant process and Esscher's change of measure (2002)Option pricing and Esscher transform under regime switching (2005)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 2004Stochastic Finance701 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 1993Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options303 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited

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  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • Cited by

    • 2008Exchange Options Under Jump-Diffusion Dynamics48 cited
    • 2008Adaptive Weak Approximation of Diffusions with Jumps38 cited
    • 2004A Finite Difference Scheme for Option Pricing in Jump-Diffusion and Exponential Levy Models35 cited