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Towards a Theory of Volatility Trading
5 references·16 citing·48 second hop
Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatility TradingBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Options and Efficiency (1976)Options and EfficiencyUnconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises (2020)Unconventional Monetary Polic…Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns (2014)Aggregate Jump and Volatility…When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia (2013)When Uncertainty Blows in the…The Skew Risk Premium in the Equity Index Market (2013)The Skew Risk Premium in the …Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013)Improving Portfolio Selection…Risk, Uncertainty, and Expected Returns (2012)Risk, Uncertainty, and Expect…Parametric and Nonparametric Volatility Measurement (2010)Parametric and Nonparametric …Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Dynamic estimation of volatil…Volatility Derivatives (2009)Volatility DerivativesThe Price of Correlation Risk: Evidence from Equity Options (2009)The Price of Correlation Risk…Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Testing for jumps when asset …Extracting Model-Free Volatility from Option Prices (2007)Extracting Model-Free Volatil…A Tale of Two Indices (2006)A Tale of Two IndicesTHE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Mod…ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)ANNIVERSARY ARTICLE: Option P…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A multiple indicators model for volatility using intra-daily data (2005)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)The information content of option-implied volatility for credit default swap valuation (2010)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)The Time Variation in Risk Appetite and Uncertainty (2021)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Cross-section of option returns and volatility☆ (2009)A Macroeconomic Model with a Financial Sector (2012)Stock Options as Lotteries (2014)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investor sentiment and the price of oil (2017)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1976Options and Efficiency830 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited

Cited by

  • 2010Parametric and Nonparametric Volatility Measurement520 cited
  • 2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities470 cited
  • 2009The Price of Correlation Risk: Evidence from Equity Options424 cited
  • 2006A Tale of Two Indices381 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2008Testing for jumps when asset prices are observed with noise–a “swap variance” approach287 cited
  • 2014Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns280 cited
  • 2013The Skew Risk Premium in the Equity Index Market228 cited
  • 2013When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia218 cited
  • 2013

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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
218 cited
  • 2007Extracting Model-Free Volatility from Option Prices217 cited
  • 2012Risk, Uncertainty, and Expected Returns197 cited
  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 2009Volatility Derivatives178 cited
  • 2020Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises166 cited
  • 2004Option Pricing: Valuation Models and Applications164 cited