SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing average options under time-changed Lévy processes
16 references·2 citing·36 second hop
Pricing average options under time-changed Lévy processes (2013)Pricing average options under time-change…Stochastic skew in currency options☆ (2007)Stochastic skew in currency o…Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Specification Analysis of Opt…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…A new PDE approach for pricing arithmetic average Asian options (2001)A new PDE approach for pricin…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Pricing European average rate currency options (1992)Pricing European average rate…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes (2016)Pricing bounds and approximat…Jumps and stochastic volatility in crude oil prices and advances in average option pricing (2016)Jumps and stochastic volatili…The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2007Stochastic skew in currency options☆341 cited
  • 1992Pricing European average rate currency options331 cited
  • 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes321 cited
  • 2001A new PDE approach for pricing arithmetic average Asian options266 cited
  • 2002Asset Pricing under the Quadratic Class

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

259 cited

Cited by

  • 2016Jumps and stochastic volatility in crude oil prices and advances in average option pricing24 cited
  • 2016Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes20 cited