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Option Profit and Loss Attribution and Pricing: A New Framework
16 references·1 citing·36 second hop
Option Profit and Loss Attribution and Pricing: A New Framework (2018)Option Profit and Loss Attribution and Pr…The Joint Cross Section of Stocks and Options (2014)The Joint Cross Section of St…The Price of Correlation Risk: Evidence from Equity Options (2009)The Price of Correlation Risk…Variance Risk Premiums (2008)Variance Risk PremiumsOptions, futures and other derivatives (2008)Options, futures and other de…Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Risk and Return in Fixed-Inco…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Expected Option Returns (2001)Expected Option ReturnsSpanning and derivative-security valuation (2000)Spanning and derivative-secur…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…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…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…Existence of an Equilibrium for a Competitive Economy (1954)Existence of an Equilibrium f…Théorie de la spéculation (1900)Théorie de la spéculationHedging With Linear Regressions and Neural Networks (2021)Hedging With Linear Regressio…A Theory of the Term Structure of Interest Rates (1985)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)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)Option pricing: A simplified approach (1979)Towards an economic theory of the multiproduct firm (1982)SOME LESSONS FROM THE EAST ASIAN MIRACLE (1996)Systemic risk in banking ecosystems (2011)
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 Pricing8,060 cited
  • 1954Existence of an Equilibrium for a Competitive Economy4,067 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2001Expected Option Returns771 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2008Options, futures and other derivatives646 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2009The Price of Correlation Risk: Evidence from Equity Options424 cited
  • 2014The Joint Cross Section of Stocks and Options286 cited
  • 2006

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Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?
283 cited

Cited by

  • 2021Hedging With Linear Regressions and Neural Networks35 cited