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A GARCH Option Pricing Model with Filtered Historical Simulation
16 references·6 citing·26 second hop
A GARCH Option Pricing Model with Filtered Historical Simulation (2004)A GARCH Option Pricing Model with Filtere…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On estimating the expected return on the market (1980)On estimating the expected re…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The pricing kernel puzzle in forward looking data (2017)The pricing kernel puzzle in …Modeling the Dynamics of Correlations among Implied Volatilities (2014)Modeling the Dynamics of Corr…Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models (2014)Calibrating the Italian Smile…Forecasting the return distribution using high-frequency volatility measures (2013)Forecasting the return distri…Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations (2011)Conditional Volatility and th…Option Pricing With Model-Guided Nonparametric Methods (2009)Option Pricing With Model-Gui…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1980On estimating the expected return on the market

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2,818 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • Cited by

    • 2014Modeling the Dynamics of Correlations among Implied Volatilities51 cited
    • 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models47 cited
    • 2011Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations40 cited
    • 2009Option Pricing With Model-Guided Nonparametric Methods40 cited
    • 2017The pricing kernel puzzle in forward looking data38 cited
    • 2013Forecasting the return distribution using high-frequency volatility measures30 cited