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Estimating jump–diffusions using closed-form likelihood expansions
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Estimating jump–diffusions using closed-form likelihood expansions (2016)Estimating jump–diffusions using closed-f…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…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…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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)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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
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References

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  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 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
  • 1990

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Stochastic Integration and Differential Equations
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