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GARCH option pricing with volatility derivatives
16 references·0 citing·42 second hop
GARCH option pricing with volatility derivatives (2022)GARCH option pricing with volatility deri…The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The Shape and Term Structure …Variance Risk Premiums (2008)Variance Risk PremiumsOption valuation with long-run and short-run volatility components☆ (2008)Option valuation with long-ru…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Which GARCH Model for Option Valuation? (2004)Which GARCH Model for Option …The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Alternative models for stock price dynamics (2003)Alternative models for stock …Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyPost-'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…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELA 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 commodity contracts (1976)The pricing of commodity cont…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)Stochastic Volatility for Lévy Processes (2003)Specification Tests in Econometrics (1978)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (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)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)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)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)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)Demand-Based Option Pricing (2005)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
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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
  • 1976The pricing of commodity contracts2,859 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well540 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2008Option valuation with long-run and short-run volatility components☆307 cited

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2004
Which GARCH Model for Option Valuation?
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