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Pricing derivatives written on assets with arbitrary skewness and kurtosis
11 references·0 citing·47 second hop
Pricing derivatives written on assets with arbitrary skewness and kurtosis (2001)Pricing derivatives written on assets wit…Accounting for Biases in Black-Scholes (2004)Accounting for Biases in Blac…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…ERM bandwidths for EMU and after: evidence from foreign exchange options (1997)ERM bandwidths for EMU and af…SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …Option Valuation with Systematic Stochastic Volatility (1993)Option Valuation with Systema…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Valuation of Multivariate Contingent Claims in Discrete Time Models (1984)The Valuation of Multivariate…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Empirical Performance of Alternative Option Pricing Models (1997)The Forecasting Ability of Correlations Implied in Foreign Exchange Options (1997)Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility (2006)The effect of macroeconomic news on beliefs and preferences: Evidence from the options market (2006)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Determinants of corporate borrowing (1977)On the Consistency of the Black-Scholes Model with a General Equilibrium Framework (1987)The Demand for Reinsurance: Theory and Empirical Tests (2003)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)The pricing of commodity contracts (1976)Recovering Risk Aversion from Option Prices and Realized Returns (1996)Density forecasting: a survey (2000)Testing the stability of implied probability density functions (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Skewness in financial returns (1999)Autoregresive conditional volatility, skewness and kurtosis (2005)Theory of Rational Option Pricing (1973)Closing the GARCH gap: Continuous time GARCH modeling (1996)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Pricing and hedging derivative securities with neural networks and a homogeneity hint (2000)Theory of rational option pricing (2005)Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)On the fundamental theorem of asset pricing with an infinite state space (1991)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Closed-form transformations from risk-neutral to real-world distributions (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Who Should Buy Portfolio Insurance? (1980)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Gain, Loss, and Asset Pricing (2000)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
  • 1993Option Valuation with Systematic Stochastic Volatility240 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 2004Accounting for Biases in Black-Scholes156 cited
  • 1984The Valuation of Multivariate Contingent Claims in Discrete Time Models104 cited
  • 1997ERM bandwidths for EMU and after: evidence from foreign exchange options64 cited

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