SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Jacobi stochastic volatility model
16 references·1 citing·37 second hop
The Jacobi stochastic volatility model (2018)The Jacobi stochastic volatility modelA Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Affine processes and applications in finance (2003)Affine processes and applicat…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Spanning and derivative-security valuation (2000)Spanning and derivative-secur…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Infinite-dimensional polynomial processes (2021)Infinite-dimensional polynomi…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Variance Risk Premiums (2008)Multiple Wiener Integral (1951)On Square Integrable Martingales (1967)Diffusion processes with continuous coefficients, I (1969)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Specification Analysis of Affine Term Structure Models (2000)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)Hawkes Processes in Finance (2015)Theory of Rational Option Pricing (1973)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)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)Alternative models for stock price dynamics (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Brownian Motion and Stochastic Calculus (2007)Financial Modelling with Jump Processes (2003)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)On the Heston Model with Stochastic Interest Rates (2011)“Options, Futures, and Other Derivatives” (2016)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (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
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998Brownian Motion and Stochastic Calculus2,075 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2006Moment explosions in stochastic volatility models403 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
  • Cited by

    • 2021Infinite-dimensional polynomial processes15 cited