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Implementing Option Pricing Models When Asset Returns Are Predictable
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Cited by

  • 2009Systemic Risk and the Refinancing Ratchet Effect74 cited
  • 2012The Joint Cross Section of Stocks and Options51 cited
  • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
  • 1996Asymptotic filtering theory for multivariate ARCH models43 cited
  • 2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
  • 2009Static hedging and pricing American options39 cited
  • 1997Local parametric analysis of hedging in discrete time30 cited
  • 2008Dynamic Hedging in Incomplete Markets: A Simple Solution27 cited
  • 2001Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers22 cited
  • 2014Optimal timing of wind farm repowering: a two-factor real options analysis21 cited
  • 2011Statistical properties and economic implications of jump-diffusion processes with shot-noise effects17 cited
  • 1999Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study17 cited
  • 2001What the Pension Benefit Guaranty Corporation Can Learn from the Federal Savings and Loan Insurance Corporation14 cited

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