SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
16 references·0 citing·38 second hop
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model (2017)Pricing and disentanglement of American p…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)A Fast and Accurate FFT-Based…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Disentangling diffusion from jumps (2004)Disentangling diffusion from …First passage times of a jump diffusion process (2003)First passage times of a jump…Optimal stopping and perpetual options for Lévy processes (2002)Optimal stopping and perpetua…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Randomization and the American Put (1998)Randomization and the America…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Observing Stochastic Processes, and Approximate Transform Inversion (1966)Observing Stochastic Processe…Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Post-'87 crash fears in the S&P 500 futures option market (2000)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Option pricing when underlying stock returns are discontinuous (1976)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Imbedded Markov Chain Analysis of a Waiting-Line Process in Continuous Time (1959)The Pointwise Stationary Approximation for Queues with Nonstationary Arrivals (1991)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Modelling with Jump Processes (2003)On the Heston Model with Stochastic Interest Rates (2011)“Options, Futures, and Other Derivatives” (2016)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Stochastic Volatility for Lévy Processes (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 1966Observing Stochastic Processes, and Approximate Transform Inversion434 cited
  • 1998Randomization and the American Put404 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004
Non-parametric calibration of jump–diffusion option pricing models
212 cited

Cited by

No citing works inside the corpus for this window.