SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
16 references·0 citing·25 second hopsampled
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data (2014)Estimating the Parameters of Stochastic V…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…Model Specification and Risk Premia: Evidence from Futures Options (2007)Model Specification and Risk …Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…The dynamics of stochastic volatility: evidence from underlying and options markets (2003)The dynamics of stochastic vo…Alternative models for stock price dynamics (2003)Alternative models for stock …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…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 Pricing of Options and Corporate Liabilities (1973)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)The Relative Contribution of Jumps to Total Price Variance (2005)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Numerical solution of stochastic differential equations (2016)Option pricing when underlying stock returns are discontinuous (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)On estimating the expected return on the market (1980)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Variance Gamma Process and Option Pricing (1998)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2007Model Specification and Risk Premia: Evidence from Futures Options630 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited

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

  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • Cited by

    No citing works inside the corpus for this window.