SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Nonlinear Factor Analysis of S&P 500 Index Option Returns
16 references·0 citing·42 second hop
A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2001)A Nonlinear Factor Analysis of S&P 500 In…The dynamics of stochastic volatility: evidence from underlying and options markets (2003)The dynamics of stochastic vo…Expected Option Returns (2001)Expected Option ReturnsRecovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…The relation between implied and realized volatility (1998)The relation between implied …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Numerical Methods in Economics (1998)Numerical Methods in EconomicsEmpirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Theory of Rational Option Pricing (1973)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)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Prices of State-Contingent Claims Implicit in Option Prices (1978)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Demand-Based Option Pricing (2005)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2001Expected Option Returns771 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
  • 1995Predicting stock market volatility: A new measure

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

538 cited
  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • Cited by

    No citing works inside the corpus for this window.