References

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• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 2003Modeling and Forecasting Realized Volatility3,920 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2002A Jump-Diffusion Model for Option Pricing1,895 cited
• 1995THE GARCH OPTION PRICING MODEL1,131 cited
• 2000A Closed-Form GARCH Option Valuation Model1,001 cited
• 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
• 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
• 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel310 cited
• 2012Valuation of VIX derivatives184 cited
• 2015Exponential GARCH Modeling With Realized Measures of Volatility183 cited
• 2006VIX futures168 cited
• 2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation147 cited
• 2011Lévy Jump Risk: Evidence from Options and Returns143 cited