Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Option pricing with mean reversion and stochastic volatility

15 references·14 citing·42 second hop

FromToDepth

this work references cited by second hop

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1997Empirical Performance of Alternative Option Pricing Models2,708 cited
1999Option valuation using the fast Fourier transform2,155 cited
1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
1988Mean reversion in stock prices1,888 cited
1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
1996Mean Reversion in Stock Prices1,083 cited
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
2002On modelling and pricing weather derivatives390 cited
2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
1988Mean Reversion in Equilibrium Asset Prices293 cited
1996Mean reversion in real exchange rates: evidence and implications for forecasting185 cited
2007The volatility of temperature and pricing of weather derivatives

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

172 cited

Cited by

2015Intraday volatility interaction between the crude oil and equity markets116 cited
2018A General Valuation Framework for SABR and Stochastic Local Volatility Models87 cited
2017Regime-switching stochastic volatility model: estimation and calibration to VIX options62 cited
2015Variance swap with mean reversion, multifactor stochastic volatility and jumps48 cited
2020A real options based decision support tool for R&D investment: Application to CO2 recycling technology47 cited
2013Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity42 cited
2010FFT based option pricing under a mean reverting process with stochastic volatility and jumps41 cited
2010An FFT-network for Lévy option pricing38 cited
2015An explicitly solvable Heston model with stochastic interest rate34 cited
2012High-order computational methods for option valuation under multifactor models31 cited
2013Pricing foreign equity options with regime-switching30 cited
2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?28 cited
2015European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis27 cited
2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps26 cited