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Confidence sets in nonparametric calibration of exponential Lévy models
16 references·3 citing·40 second hop
Confidence sets in nonparametric calibration of exponential Lévy models (2014)Confidence sets in nonparametric calibrat…Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Pricing and Hedging in Expone…Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for …Spectral calibration of exponential Lévy models (2006)Spectral calibration of expon…Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem (2006)Retrieving Lévy Processes fro…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Robust designs for polynomial regression by maximizing a minimum of D- and D1-efficiencies (2001)Robust designs for polynomial…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of condi…Econometric models of option pricing errors (1997)Econometric models of option …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitEfficient nonparametric inference for discretely observed compound Poisson processes (2017)Efficient nonparametric infer…Testing the characteristics of a Lévy process (2013)Testing the characteristics o…Correlated Trades and Herd Behavior in the Stock Market (2012)Correlated Trades and Herd Be…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)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)Variance Risk Premiums (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Theory of the Term Structure of Interest Rates (1985)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)A Reexamination of Diffusion Estimators With Applications to Financial Model Validation (2003)Efficient Semiparametric Estimation of the Fama-French Model and Extensions (2012)How to measure the impact of environmental factors in a nonparametric production model (2012)Stochastic Integration and Differential Equations (2005)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Testing Structural Equation Models. (1994)Coherent Measures of Risk (1999)Robustness and sensitivity analysis of risk measurement procedures (2010)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Model risk of risk models (2016)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Toward a knowledge‐based theory of the firm (1996)The Promise of Enterpreneurship as a Field of Research (2000)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Model Specification and Risk Premia: Evidence from Futures Options (2007)Partial Differential Equations (2010)
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References

  • 1921Risk, Uncertainty and Profit9,967 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2003Limit Theorems for Stochastic Processes2,652 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998Efficient estimation of conditional variance functions in stochastic regression474 cited
  • 2004Financial Modelling with Jump Processes443 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS373 cited
  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 1997Econometric models of option pricing errors122 cited
  • 2009Nonparametric estimation for Lévy processes from low-frequency observations121 cited
  • 2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Results100 cited
  • 2006Spectral calibration of exponential Lévy models75 cited
  • 2006Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem73 cited

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2001
Robust designs for polynomial regression by maximizing a minimum of D- and D1-efficiencies
61 cited

Cited by

  • 2012Correlated Trades and Herd Behavior in the Stock Market20 cited
  • 2013Testing the characteristics of a Lévy process17 cited
  • 2017Efficient nonparametric inference for discretely observed compound Poisson processes16 cited