SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
15 references·16 citing·32 second hop
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR …REGULAR VARIATION AND SMILE ASYMPTOTICS (2009)REGULAR VARIATION AND SMILE A…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Affine processes and applications in finance (2003)Affine processes and applicat…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…A general characterization of one factor affine term structure models (2001)A general characterization of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …The Term Structure of Implied Volatility (2000)The Term Structure of Implied…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…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 Alpha‐Heston stochastic volatility model (2021)The Alpha‐Heston stochastic v…Affine forward variance models (2019)Affine forward variance modelsAsymptotic Behavior of the Fractional Heston Model (2018)Asymptotic Behavior of the Fr…Exponential moments of affine processes (2015)Exponential moments of affine…Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2014)Consistent Modelling of VIX a…Smiles all around: FX joint calibration in a multi-Heston model (2013)Smiles all around: FX joint c…The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)The Small-Time Smile and Term…Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (2012)Large deviations and stochast…On refined volatility smile expansion in the Heston model (2011)On refined volatility smile e…Implied Volatility Surface: Construction Methodologies and Characteristics (2011)Implied Volatility Surface: C…The large-maturity smile for the Heston model (2010)The large-maturity smile for …Asymptotic formulae for implied volatility in the Heston model (2010)Asymptotic formulae for impli…Affine processes are regular (2010)Affine processes are regularSMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)SMALL-TIME ASYMPTOTICS FOR IM…Asymptotics of Implied Volatility far from Maturity (2009)Asymptotics of Implied Volati…Affine Diffusion Processes: Theory and Applications (2009)Affine Diffusion Processes: T…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Stochastic Integration and Differential Equations (2005)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Maximum likelihood estimation of stochastic volatility models (2006)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2000Introduction and Summary of Results (Excerpt)516 cited
  • 2000The Term Structure of Implied Volatility516 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2009REGULAR VARIATION AND SMILE ASYMPTOTICS133 cited
  • 2001A general characterization of one factor affine term structure models129 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2012The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model116 cited
  • 2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL116 cited
  • 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model80 cited
  • 2010The large-maturity smile for the Heston model78 cited
  • 2015Exponential moments of affine processes72 cited
  • 2009Affine Diffusion Processes: Theory and Applications71 cited
  • 2010Affine processes are regular68 cited
  • 2009Asymptotics of Implied Volatility far from Maturity63 cited
  • 2018Asymptotic Behavior of the Fractional Heston Model63 cited
  • 2019Affine forward variance models62 cited
  • 2011Implied Volatility Surface: Construction Methodologies and Characteristics61 cited
  • 2010Asymptotic formulae for implied volatility in the Heston model58 cited
  • 2013Smiles all around: FX joint calibration in a multi-Heston model55 cited
  • 2011On refined volatility smile expansion in the Heston model53 cited
  • 2012Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models41 cited
  • 2021The Alpha‐Heston stochastic volatility model35 cited