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Risk‐neutral moment‐based estimation of affine option pricing models
16 references·0 citing·32 second hopsampled
Risk‐neutral moment‐based estimation of affine option pricing models (2018)Risk‐neutral moment‐based estimation of a…Does realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The Shape and Term Structure …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Affine processes and applications in finance (2003)Affine processes and applicat…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Spanning and derivative-security valuation (2000)Spanning and derivative-secur…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)How Sovereign Is Sovereign Credit Risk? (2011)Option pricing when underlying stock returns are discontinuous (1976)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 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
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited

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  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
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