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A Generalization of Hull and White Formula and Applications to Option Pricing Approximation
16 references·0 citing·31 second hop
A Generalization of Hull and White Formula and Applications to Option Pricing Approximation (2004)A Generalization of Hull and White Formul…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Theory of rational option pricing (2005)Theory of rational option pri…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (1999)Stochastic Volatility With an…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…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…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Stochastic Differential Equations and Applications (1976)Semimartingales (1982)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling and Forecasting Realized Volatility (2003)Stochastic Differential Equations (2006)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 1995The Malliavin Calculus and Related Topics1,657 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility923 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited

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  • 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited
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