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Closed-form implied volatility surfaces for stochastic volatility models with jumps
16 references·1 citing·29 second hopsampled
Closed-form implied volatility surfaces for stochastic volatility models with jumps (2020)Closed-form implied volatility surfaces f…The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The Shape and Term Structure …The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Alternative models for stock price dynamics (2003)Alternative models for stock …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Empirical Option Pricing Models (2022)Empirical Option Pricing Mode…The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)An equilibrium characterization of the term structure (1977)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)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2002

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An Empirical Investigation of Continuous‐Time Equity Return Models
868 cited
  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
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    • 2022Empirical Option Pricing Models25 cited