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Robust Estimation of Shape-Constrained State Price Density Surfaces
16 references·0 citing·27 second hop
Robust Estimation of Shape-Constrained State Price Density Surfaces (2015)Robust Estimation of Shape-Constrained St…Ex Ante Skewness and Expected Stock Returns (2012)Ex Ante Skewness and Expected…Theory of rational option pricing (2005)Theory of rational option pri…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Proceedings of the International Joint Conference on Neural Networks, 2003. (2003)Proceedings of the Internatio…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Options and Efficiency (1976)Options and EfficiencyTheory 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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)Theory of Value (1959)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)Incorporating stock prices and news sentiments for stock market prediction: A case of Hong Kong (2020)Stock market movement forecast: A Systematic review (2020)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 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
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2003Proceedings of the International Joint Conference on Neural Networks, 2003.1,674 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 1976Options and Efficiency830 cited
  • 2012Ex Ante Skewness and Expected Stock Returns762 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited

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  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
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