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Option pricing model based on a Markov-modulated diffusion with jumps
16 references·0 citing·19 second hop
Option pricing model based on a Markov-modulated diffusion with jumps (2010)Option pricing model based on a Markov-mo…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Information and option pricings (2001)Information and option pricin…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…The variation of certain speculative prices (1997)The variation of certain spec…Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mean-Variance Hedging of Opti…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Value of Waiting to Invest (1982)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 2001Information and option pricings273 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 1995Mean-Variance Hedging of Options on Stocks with Markov Volatilities

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