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The fine structure of equity-index option dynamics
16 references·0 citing·40 second hopsampled
The fine structure of equity-index option dynamics (2015)The fine structure of equity-index option…The risk premia embedded in index options (2015)The risk premia embedded in i…Parametric Inference and Dynamic State Recovery From Option Panels (2015)Parametric Inference and Dyna…Tails, Fears, and Risk Premia (2011)Tails, Fears, and Risk PremiaVolatility Jumps (2010)Volatility JumpsIs Brownian motion necessary to model high-frequency data? (2010)Is Brownian motion necessary …Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…What Type of Process Underlies Options? A Simple Robust Test (2003)What Type of Process Underlie…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Modelling microstructure noise with mutually exciting point processes (2012)Fact or friction: Jumps at ultra high frequency (2014)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Modeling financial contagion using mutually exciting jump processes (2015)Specification Tests in Econometrics (1978)The Relative Contribution of Jumps to Total Price Variance (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Limit Theorems for Stochastic Processes (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Coherent Measures of Risk (1999)Tail Risk and Asset Prices (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time-changed Lévy processes and option pricing (2003)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2011Tails, Fears, and Risk Premia814 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
  • 2003What Type of Process Underlies Options? A Simple Robust Test296 cited
  • 2015The risk premia embedded in index options285 cited
  • 2010Volatility Jumps217 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests175 cited
  • 2015Parametric Inference and Dynamic State Recovery From Option Panels138 cited

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  • 2010Is Brownian motion necessary to model high-frequency data?109 cited
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