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Regime‐dependent smile‐adjusted delta hedging
16 references·0 citing·29 second hop
Regime‐dependent smile‐adjusted delta hedging (2011)Regime‐dependent smile‐adjusted delta hed…Theory of rational option pricing (2005)Theory of rational option pri…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…The importance of the loss function in option valuation (2003)The importance of the loss fu…Testing the stability of implied probability density functions (2002)Testing the stability of impl…Pricing and hedging long-term options (2000)Pricing and hedging long-term…Stylized facts of daily return series and the hidden Markov model (1998)Stylized facts of daily retur…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Estimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)Estimating the Probability Di…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Option hedging for semimartingales (1991)Option hedging for semimartin…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…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…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Which GARCH Model for Option Valuation? (2004)Chapter 15 Volatility and Correlation Forecasting (2006)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 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
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 2003The importance of the loss function in option valuation393 cited
  • 1991Option hedging for semimartingales379 cited
  • 1998Stylized facts of daily return series and the hidden Markov model346 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2002Testing the stability of implied probability density functions269 cited
  • 2000Pricing and hedging long-term options243 cited

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1997
Estimating the Probability Distribution of the Future Exchange Rate from Option Prices
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