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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
16 references·3 citing·34 second hop
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (2014)Semi-nonparametric estimation of the call…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Theory of rational option pricing (2005)Theory of rational option pri…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…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…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Detecting and Repairing Arbitrage in Traded Option Prices (2020)Detecting and Repairing Arbit…Forecasting the Distribution of Option Returns (2017)Forecasting the Distribution …An Empirical Analysis of the Ross Recovery Theorem (2014)An Empirical Analysis of the …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)On estimating the expected return on the market (1980)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)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)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)The Model-Free Implied Volatility and Its Information Content (2005)Option pricing: A simplified approach (1979)
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References

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  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
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  • 2002Dynamics of implied volatility surfaces

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433 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • Cited by

    • 2014An Empirical Analysis of the Ross Recovery Theorem33 cited
    • 2020Detecting and Repairing Arbitrage in Traded Option Prices31 cited
    • 2017Forecasting the Distribution of Option Returns31 cited