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A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters
16 references·0 citing·34 second hopsampled
A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters (2020)A Discrete-Time Hedging Framework with Mu…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Variance Risk Premiums (2008)Variance Risk PremiumsA Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…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…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELComparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…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)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 Cross‐Section of Volatility and Expected Returns (2006)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)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)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)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Analysis of Financial Time Series (2006)
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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
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2003The Impact of Jumps in Volatility and Returns1,510 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2008Variance Risk Premiums1,364 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2000

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A Closed-Form GARCH Option Valuation Model
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