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Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices
7 references·16 citing·34 second hop
Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices (1997)Implied Volatility Skews and Stock Index …Theory of rational option pricing (2005)Theory of rational option pri…Implied Binomial Trees (1994)Implied Binomial TreesOptions, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Valuation of American call options on dividend-paying stocks (1982)Valuation of American call op…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Financial contagion and asset pricing (2014)Financial contagion and asset…Pricing of Volatility Risk in REITs (2013)Pricing of Volatility Risk in…The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing (2011)The Generalized Extreme Value…The implied volatility smirk (2008)The implied volatility smirkRecovering Risk Neutral Densities from Option Prices: A New Approach (2008)Recovering Risk Neutral Densi…The hidden martingale restriction in Gram‐Charlier option prices (2007)The hidden martingale restric…Skew Brownian Motion and Pricing European Options (2007)Skew Brownian Motion and Pric…Parametric pricing of higher order moments in S&P500 options (2004)Parametric pricing of higher …MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model (2004)MCMC Bayesian Estimation of a…A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction (2004)A note on skewness and kurtos…A non-Gaussian option pricing model with skew (2004)A non-Gaussian option pricing…Option pricing based on the generalized lambda distribution (2001)Option pricing based on the g…Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach (2001)Estimating Implied PDFs From …Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Reading the smile: the messag…Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review (1999)Option Implied Risk-Neutral D…Constructing Binomial Trees From Multiple Implied Probability Distributions (1999)Constructing Binomial Trees F…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Risk, Return, and Equilibrium: Empirical Tests (1973)Theory of Rational Option Pricing (1973)Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model (1989)20 Testing option pricing models (1995)SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The CBOE S&P 500 three‐month variance futures (2009)The Term Structure of VIX (2012)Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options (2013)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)Nonparametric 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, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)On option pricing models in the presence of heavy tails (2007)Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing (2020)Foreign exchange market intervention and expectations: The yen/dollar exchange rate (2005)Why Does Implied Risk Aversion Smile? (2006)Forecasting with Option-Implied Information (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1982Valuation of American call options on dividend-paying stocks319 cited

Cited by

  • 2000Reading the smile: the message conveyed by methods which infer risk neutral densities117 cited
  • 2008The implied volatility smirk101 cited
  • 2004A non-Gaussian option pricing model with skew79 cited
  • 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review78 cited
  • 2011The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing71 cited
  • 2001Option pricing based on the generalized lambda distribution63 cited
  • 2007Skew Brownian Motion and Pricing European Options57 cited
  • 2014Financial contagion and asset pricing56 cited
  • 2008

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Recovering Risk Neutral Densities from Option Prices: A New Approach
44 cited
  • 2013Pricing of Volatility Risk in REITs38 cited
  • 2004Parametric pricing of higher order moments in S&P500 options37 cited
  • 2001Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach36 cited
  • 2004A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction36 cited
  • 1999Constructing Binomial Trees From Multiple Implied Probability Distributions36 cited
  • 2007The hidden martingale restriction in Gram‐Charlier option prices35 cited
  • 2004MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model29 cited