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Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
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Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (2014)Bayesian Option Pricing Using Mixed Norma…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Theory of rational option pricing (2005)Theory of rational option pri…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the 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…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)A long memory property of stock market returns and a new model (1993)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models

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1,363 cited
  • 2005Analysis of Financial Time Series1,350 cited
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