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Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility
16 references·4 citing·32 second hop
Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility (2009)Generic Pricing of FX, Inflation and Stoc…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Affine processes and applications in finance (2003)Affine processes and applicat…Monte Carlo methods in finance (2002)Monte Carlo methods in financeInterest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (1999)Stochastic Volatility With an…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure (2024)Analytically pricing foreign …An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)An Affine Multicurrency Model…Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013)Pricing of foreign exchange o…On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (2011)On Cross-Currency Models with…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)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)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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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
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 2002Monte Carlo methods in finance459 cited
  • 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited

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  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • Cited by

    • 2011On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates48 cited
    • 2013Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates47 cited
    • 2024Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure30 cited
    • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited