SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing VIX options with realized volatility
16 references·0 citing·40 second hopsampled
Pricing VIX options with realized volatility (2021)Pricing VIX options with realized volatil…Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)Capturing Option Anomalies wi…Valuation of VIX derivatives (2012)Valuation of VIX derivativesRealized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)Volatility Dynamics for the S…Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Realising the future: forecas…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A multiple indicators model for volatility using intra-daily data (2005)A multiple indicators model f…Which GARCH Model for Option Valuation? (2004)Which GARCH Model for Option …The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…Valuing futures and options on volatility (1996)Valuing futures and options o…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseDesigning realised kernels to…The Behavior of Stock-Market Prices (1965)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)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)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Comparing Predictive Accuracy (1994)Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Volatility transmission in emerging European foreign exchange markets (2011)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Artificial intelligence and machine learning in finance: A bibliometric review (2022)The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Parametric and Nonparametric Volatility Measurement (2010)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
  • 2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models436 cited
  • 2010Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices312 cited
  • 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel310 cited
  • 2004Which GARCH Model for Option Valuation?290 cited
  • 1996Valuing futures and options on volatility225 cited
  • 2012Valuation of VIX derivatives

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

184 cited
  • n.d.Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise184 cited
  • Cited by

    No citing works inside the corpus for this window.