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Crypto quanto and inverse options
16 references·0 citing·45 second hop
Crypto quanto and inverse options (2023)Crypto quanto and inverse optionsOUP accepted manuscript (2020)OUP accepted manuscriptHigh-Frequency Jump Analysis of the Bitcoin Market (2017)High-Frequency Jump Analysis …Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? (2016)Does Option Trading Have a Pe…PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (2010)PRICING AND HEDGING OF DERIVA…A Guide to FX Options Quoting Conventions (2010)A Guide to FX Options Quoting…Mathematical Methods for Financial Markets (2009)Mathematical Methods for Fina…Stochastic skew in currency options☆ (2007)Stochastic skew in currency o…Performance of utility-based strategies for hedging basis risk (2004)Performance of utility-based …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Option and Futures Evaluation With Deterministic Volatilities1 (1993)Option and Futures Evaluation…Pricing European average rate currency options (1992)Pricing European average rate…The pricing of call and put options on foreign exchange (1983)The pricing of call and put o…Foreign currency option values (1983)Foreign currency option valuesThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)The valuation of options for alternative stochastic processes (1976)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A new PDE approach for pricing arithmetic average Asian options (2001)Pricing Asian and basket options via Taylor expansion (2002)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)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Simple formulas for standard errors that cluster by both firm and time (2010)Endogenous Extreme Events and the Dual Role of Prices (2012)Pinning in the S&P 500 futures (2012)Withholding Bad News in the Face of Credit Default Swap Trading: Evidence from Stock Price Crash Risk (2023)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)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)Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)Crash-neutral currency carry trades (2014)20 Testing option pricing models (1995)Brownian Excursions and Parisian Barrier Options (1997)Regime switching in foreign exchange rates: (2000)Exponential Hedging and Entropic Penalties (2002)Utility maximization in incomplete markets (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)A jump to default extended CEV model: an application of Bessel processes (2006)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Monte Carlo and Quasi-Monte Carlo Methods (2013)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1983Foreign currency option values1,078 cited
  • 2009Mathematical Methods for Financial Markets638 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2007Stochastic skew in currency options☆341 cited
  • 1992Pricing European average rate currency options331 cited
  • 1983The pricing of call and put options on foreign exchange276 cited
  • 2016Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?97 cited
  • 2017High-Frequency Jump Analysis of the Bitcoin Market95 cited
  • 2004Performance of utility-based strategies for hedging basis risk83 cited
  • 2020OUP accepted manuscript71 cited
  • 1993Option and Futures Evaluation With Deterministic Volatilities153 cited
  • 2010A Guide to FX Options Quoting Conventions52 cited
  • 2010PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

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