This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for " The Pricing of Options on Assets with Stochastic Volatilities"

by Hull, John C & White, Alan D

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Olivier Ledoit & Pedro Santa-Clara, 1998. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management 1112, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, EconWPA. [Downloadable!]
    Other versions:
  3. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]
  4. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Dec, pages 21-35. [Downloadable!]
  5. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  6. Fima Klebaner & Truc Le & Robert Liptser, 2006. "On Estimation of Volatility Surface and Prediction of Future Spot Volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(3), pages 245-263, September. [Downloadable!] (restricted)
  7. Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO. [Downloadable!]
    Other versions:
  8. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 533-556, December. [Downloadable!] (restricted)
  9. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477. [Downloadable!]
  10. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  12. Nicholas Bloom, 2000. "A Generalised Model of Investment under Uncertainty: Aggregation and Estimation," Econometric Society World Congress 2000 Contributed Papers 1505, Econometric Society. [Downloadable!]
  13. Kinga Z. Elo, 2007. "The Effect of Capital Controls on Foreign Direct Investment Decisions Under Country Risk with Intangible Assets," IMF Working Papers 07/79, International Monetary Fund. [Downloadable!]
  14. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society. [Downloadable!]
    Other versions:
  15. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO. [Downloadable!]
  16. Klaus P. Fischer & Jean-Pierre Gueyie & Edgar Ortiz, 1997. "Financial Liberalization: Commercial Bank's Blessing or Curse?," Finance 9705003, EconWPA. [Downloadable!]
  17. Truc Le, 2005. "Stochastic market volatility models," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 177-188, May. [Downloadable!] (restricted)
  18. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  19. Jin-Chuan Duan & Peter Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Paper 0619, Federal Reserve Bank of Cleveland. [Downloadable!]
  20. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
  21. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO. [Downloadable!]
    Other versions:
  22. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group. [Downloadable!]
  23. Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas, 2007. "Inference for stochastic volatility models using time change transformations," Quantitative Finance Papers 0711.1594, arXiv.org. [Downloadable!]
  24. Carey, Alexander, 2006. "Path-conditional forward volatility," MPRA Paper 4964, University Library of Munich, Germany. [Downloadable!]
  25. Björn Hansson & Peter Hördahl, 2005. "Forecasting variance using stochastic volatility and GARCH," European Journal of Finance, Taylor and Francis Journals, vol. 11(1), pages 33-57, February. [Downloadable!] (restricted)
  26. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508. [Downloadable!]
  27. Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 227-236, November. [Downloadable!] (restricted)
  28. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  29. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  30. W. Härdle & J. Zheng, . "How Precise Are Price Distributions Predicted by Implied Binomial Trees?," Sonderforschungsbereich 373 2002-1, Humboldt Universitaet Berlin.
  31. Michael W. Brandt & Francis X. Diebold, 2004. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," CFS Working Paper Series 2004/07, Center for Financial Studies. [Downloadable!]
    Other versions:
  32. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
  33. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  34. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus. [Downloadable!]
  35. Gropp, Reint Eberhard & Kadareija, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    Other versions:
  36. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre. [Downloadable!]
  37. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 03/125, International Monetary Fund. [Downloadable!]
  38. Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  39. Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economia Mexicana NUEVA EPOCA, , vol. 0(1), pages 103-134, January-J. [Downloadable!]
  40. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO. [Downloadable!]
    Other versions:
  41. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
  42. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
  43. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  44. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  45. Daniel B. Nelson & Dean P. Foster, 1992. "Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model," NBER Technical Working Papers 0132, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  46. Soosung Hwang & Pedro Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 473-494, October. [Downloadable!] (restricted)
    Other versions:
  47. Shinichi Aihara, Arunabha Bagchi, 2000. "Estimation of stochastic volatility in the Hull–White model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 153-181, September. [Downloadable!] (restricted)
  48. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society. [Downloadable!]
  49. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  50. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers 1186, Queen's University, Department of Economics. [Downloadable!]
  51. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  52. Szymon Borak & Matthias Fengler & Wolfgang Härdle, 2005. "DSFM fitting of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2005-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  53. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
  54. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  55. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw. [Downloadable!]
  56. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November. [Downloadable!]
  57. Sam Howison & A. Rafailidis & H.O. Rasmussen, 2001. "A note on the pricing and hedging of volatility derivatives," OFRC Working Papers Series 2001mf09, Oxford Financial Research Centre. [Downloadable!]
  58. Christian-Oliver Ewald & Aihua Zhang, 2006. "A new technique for calibrating stochastic volatility models: the Malliavin gradient method," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 147-158, April. [Downloadable!] (restricted)
  59. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  60. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March. [Downloadable!] (restricted)
  61. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO. [Downloadable!]
    Other versions:
  62. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO. [Downloadable!]
  63. Melenberg, B. & Werker, B., 1996. "On the pricing of options in incomplete markets," Discussion Paper 19, Tilburg University, Center for Economic Research. [Downloadable!]
  64. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Managing Livestock Feed Cost Risks Using Futures and Options," 2005 Annual meeting, July 24-27, Providence, RI 19399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  65. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689. [Downloadable!]
  66. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics. [Downloadable!]
  67. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]
  68. Donald D. Aingworth & Sanjiv R. Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 95-105, April. [Downloadable!] (restricted)
  69. Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre. [Downloadable!]
  70. Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department. [Downloadable!]
    Other versions:
  71. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
  72. Robert Fourt & Gianluca Marcato & Charles Ward, 2007. "Real Option Pricing in Mixed-use Development Projects," Real Estate & Planning Working Papers rep-wp2007-09, Henley Business School, Reading University. [Downloadable!]
  73. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Quantitative Finance Papers 0901.0033, arXiv.org. [Downloadable!]
  74. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics. [Downloadable!]
  75. James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, EconWPA, revised 04 Apr 2003. [Downloadable!]
    Other versions:
  76. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  77. Nikolai Dokuchaev, 2006. "Two unconditionally implied parameters and volatility smiles and skews," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 199-204, May. [Downloadable!] (restricted)
  78. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  79. Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  80. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO. [Downloadable!]
  81. S. Müller, . "Initial Offerings of Options," Sonderforschungsbereich 373 2001-22, Humboldt Universitaet Berlin.
  82. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO. [Downloadable!]
    Other versions:
  83. Pindyck, Robert S. & Solimano, Andres, 1993. "Economic instability and aggregate investment," Policy Research Working Paper Series 1148, The World Bank. [Downloadable!]
    Other versions:
  84. Marc Atlan, 2006. "Localizing Volatilities," Quantitative Finance Papers math/0604316, arXiv.org. [Downloadable!]
  85. Robert M. Gillenkirch & Matthias M. Schabel, 1999. "Die Bedeutung der Periodenerfolgsrechnung für die Investitionssteuerung. Der Fall ungleicher Zeitpräferenzen," Working Paper Series: Finance and Accounting 36, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  86. Michael Kohlmann & Shanjian Tang, 2000. "Recent Advances in Backward Stochastics Ricatti Equations and Their Applications," CoFE Discussion Paper 00-30, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  87. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta). [Downloadable!]
  88. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers 17/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  89. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
    Other versions:
  90. Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  91. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Quantitative Finance Papers 0810.1625, arXiv.org. [Downloadable!]
  92. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre. [Downloadable!]
  93. Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  94. Siem Jan Koopman & Neil Shephard, 2002. "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  95. Jiang, G. & Sluis, P.J. van der, 2000. "Index option pricing models with stochastic volatility and stochastic interest rates," Discussion Paper 36, Tilburg University, Center for Economic Research. [Downloadable!]
  96. Robert S. Pindyck, 2003. "Volatility In Natural Gas And Oil Markets," Working Papers 0312, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
  97. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA. [Downloadable!]
  98. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics. [Downloadable!]
  99. Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  100. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO. [Downloadable!]
    Other versions:
  101. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society. [Downloadable!]
  102. Vicky Henderson & David Hobson, 2001. "Passport options with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 97-118, May. [Downloadable!] (restricted)
  103. Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  104. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics. [Downloadable!]
  105. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 61-87, March. [Downloadable!] (restricted)
  106. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
  107. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
    Other versions:
  108. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany. [Downloadable!]
  109. E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics. [Downloadable!]
  110. Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  111. Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  112. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  113. Konstantinos Kalogeropoulos & Petros Dellaportas & Gareth O. Roberts, 2007. "Likelihood-based inference for correlated diffusions," Quantitative Finance Papers 0711.1595, arXiv.org. [Downloadable!]
  114. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  115. K. Ronnie Sircar, George C. Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 107-145, June. [Downloadable!] (restricted)
  116. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN. [Downloadable!]
    Other versions:
  117. Gonzalo Rubio & Eva Ferreira & Mónica Gago, 2003. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 200204, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    Other versions:
  118. Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Working Papers 04-34, Bank of Canada. [Downloadable!]
  119. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  120. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, EconWPA. [Downloadable!]
  121. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  122. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  123. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  124. F. Gonzalez Miranda, N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," European Journal of Finance, Taylor and Francis Journals, vol. 3(2), pages 137-157, June. [Downloadable!] (restricted)
  125. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO. [Downloadable!]
  126. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
  127. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York. [Downloadable!]
  128. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]
  129. René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO. [Downloadable!]
    Other versions:
  130. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336_v1, HAL. [Downloadable!]
    Other versions:
  131. Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007. [Downloadable!]
    Other versions:
  132. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO. [Downloadable!]
  133. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  134. Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  135. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
  136. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  137. Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO. [Downloadable!]
  138. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  139. Jeannette H.C. Woerner, 2003. "Purely discontinuous Levy processes and power variation: inference for integrated volatility and the scale parameter," OFRC Working Papers Series 2003mf08, Oxford Financial Research Centre. [Downloadable!]
  140. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis. [Downloadable!]
  141. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  142. Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
    Other versions:
  143. Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series 2003mf05, Oxford Financial Research Centre. [Downloadable!]
  144. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Forecasting Livestock Feed Cost Risks Using Futures and Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19048, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  145. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  146. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
  147. Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, EconWPA. [Downloadable!]
    Other versions:
  148. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  149. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January. [Downloadable!] (restricted)
  150. Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 431-444, December. [Downloadable!] (restricted)
  151. Ole E. Barndorff-Nielsen & Neil Shephard, 2008. "Modelling and measuring volatility," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre. [Downloadable!]
  152. Dorofeev Evgeny, 2000. "Economic Factors Influence on the Russian Capital Market Behavior," EERC Working Paper Series 2k-03e, EERC Research Network, Russia and CIS. [Downloadable!]
  153. C. Kaebe & J. Maruhn & E. Sachs, 2009. "Adjoint-based Monte Carlo calibration of financial market models," Finance and Stochastics, Springer, vol. 13(3), pages 351-379, September. [Downloadable!] (restricted)
  154. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO. [Downloadable!]
  155. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  156. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, School of Economics and Management, University of Aarhus. [Downloadable!]
  157. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics. [Downloadable!]
  158. Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility," Quantitative Finance Papers 0905.1882, arXiv.org. [Downloadable!]
  159. Mendes, Rui Vilela & Oliveira, Maria J., 2008. "A Data-Reconstructed Fractional Volatility Model," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy. [Downloadable!]
  160. Pilar Corredor Casado & Rafael Santamaría, . "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA. [Downloadable!]
  161. Bryant, Henry L. & Haigh, Michael S., 2003. "Comparing The Performances Of The Partial Equilibrium And Time-Series Approaches To Hedging," Working Papers 28580, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
  162. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November. [Downloadable!] (restricted)
  163. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus. [Downloadable!]
  164. Tomáš Tichý, 2006. "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 361-379, July. [Downloadable!]
  165. Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  166. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 302-321, September. [Downloadable!] (restricted)
  167. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  168. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  169. Elisa Alòs, 2003. "A General Decomposition Formula for Derivative Prices in Stochastic Volatility Models," Economics Working Papers 665, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  170. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47. [Downloadable!]
  171. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  172. Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
  173. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  174. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute. [Downloadable!]
  175. S. Bordignon & D. Raggi, 2008. "Volatility, Jumps and Predictability of Returns: a Sequential Analysis," Working Papers 636, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  176. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  177. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  178. Schönbucher, Philpp J., . "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999. [Downloadable!]
  179. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, . "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York. [Downloadable!]
  180. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  181. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  182. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404. [Downloadable!]
    Other versions:
  183. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA. [Downloadable!]
  184. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany. [Downloadable!]
  185. David S. Bates, 1993. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers 4596, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  186. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  187. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  188. Elisa Alòs, 2004. "A Generalization of Hull and White Formula and Applications to Option Pricing Approximation," Economics Working Papers 740, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  189. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO. [Downloadable!]
    Other versions:
  190. Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October. [Downloadable!] (restricted)
  191. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1075-1085, October. [Downloadable!] (restricted)
  192. Leisen, Dietmar P.J., . "Stock Evolution under Stochastic Volatility: A Discrete Approach," Discussion Paper Serie B 407, University of Bonn, Germany, revised May 1999. [Downloadable!]
  193. Bronka Rzepkowski, 2000. "The Expectations of a Hong Kong Dollar Devaluation and their Determinants," Working Papers 2000-04, CEPII research center. [Downloadable!]
  194. Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer, vol. 27(2), pages 153-165, June. [Downloadable!] (restricted)
  195. Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November. [Downloadable!] (restricted)
  196. Soosung Hwang & Steve E. Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 203-216, February. [Downloadable!] (restricted)
  197. Anna Pajor, 2009. "A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes," Central European Journal of Economic Modelling and Econometrics, Polish Academy of Sciences, The Lodz Branch, vol. 1(1), pages 71-81, March. [Downloadable!]
  198. K. Ronnie Sircar, George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 45-82, March. [Downloadable!] (restricted)
  199. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Documents de Travail 47, Banque de France. [Downloadable!]
  200. Da Silva, M. E. & Guimarães, B. V., 1999. "Precificação de Opções com Volatilidade Estocástica e Saltos," Finance Lab Working Papers flwp_11, Finance Lab, Ibmec São Paulo. [Downloadable!]
  201. Gabriele Fiorentini & Angel León & Gonzalo Rubio, . "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA. [Downloadable!]
    Other versions:
  202. Nguyen Thanh Long, 2002. "Analytical Aproach to Value Options with State Variables of a Levy System," Finance 0207004, EconWPA, revised 19 Nov 2002. [Downloadable!]
  203. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer, vol. 16(2), pages 97-109, June. [Downloadable!] (restricted)
  204. Perry Sadorsky, 2005. "Stochastic volatility forecasting and risk management," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 121-135, January. [Downloadable!] (restricted)
  205. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  206. Michael Kohlmann & Shanjian Tang, 2000. "Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging," CoFE Discussion Paper 00-26, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  207. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
  208. Michael K Pitt & Neil Shephard, . "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  209. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]
  210. Arnaud Gloter, 2007. "Efficient estimation of drift parameters in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(4), pages 495-519, October. [Downloadable!] (restricted)
  211. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  212. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
    Other versions:
  213. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2002. "Weather Derivatives: Managing Risk With Market-Based Instruments," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19074, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  214. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May. [Downloadable!] (restricted)
  215. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute. [Downloadable!]
  216. Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics. [Downloadable!]
  217. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
    Other versions:
  218. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  219. Xibin Zhang & Maxwell L. King, 2003. "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers 10/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  220. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 335-365, September. [Downloadable!] (restricted)
  221. Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003. "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series 2003mf07, Oxford Financial Research Centre. [Downloadable!]
  222. Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute. [Downloadable!]
  223. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  224. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
  225. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York. [Downloadable!]
  226. Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  227. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]
  228. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  229. Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, EconWPA. [Downloadable!]
    Other versions:
  230. Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2006. "Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model," Applied Financial Economics, Taylor and Francis Journals, vol. 16(6), pages 479-490, March. [Downloadable!] (restricted)
  231. David S. Bates, 1999. "Financial Markets' Assessment of EMU," NBER Working Papers 6874, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  232. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]
  233. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA. [Downloadable!]
  234. A. Gulisashvili, 2009. "Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes," Quantitative Finance Papers 0906.0394, arXiv.org. [Downloadable!]
  235. Vicky Henderson, 2002. "Stock Based Compensation: Firm-specific risk, Efficiency and Incentives," OFRC Working Papers Series 2002fe01, Oxford Financial Research Centre. [Downloadable!]
  236. Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, vol. 12(4), pages 469-505, October. [Downloadable!] (restricted)
  237. Jacek Jakubowski & Maciej Wisniewolski, 2009. "Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models," Quantitative Finance Papers 0909.4765, arXiv.org. [Downloadable!]
  238. Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Quantitative Finance Papers math/0205120, arXiv.org. [Downloadable!]
  239. Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
  240. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  241. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO. [Downloadable!]
    Other versions:
  242. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO. [Downloadable!]
    Other versions:
  243. P.A. Forsyth, K.R. Vetzal, R. Zvan, 1999. "A finite element approach to the pricing of discrete lookbacks with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 87-106, June. [Downloadable!] (restricted)
  244. João Amaro De Matos & Paula Antão, 2003. "Market illiquidity and bounds on European option prices," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 475-498, October. [Downloadable!] (restricted)
  245. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
  246. Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  247. Sylvia Frühwirth-Schnatter & Leopold Sögner, 2009. "Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(1), pages 159-179, March. [Downloadable!] (restricted)
  248. Hyungsok Ahn Adviti, Muni, Glen Swindle, 1997. "Misspecified asset price models and robust hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(1), pages 21-36, March. [Downloadable!] (restricted)
  249. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  250. Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  251. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge. [Downloadable!]
  252. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  253. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis. [Downloadable!]
  254. Christopher F. Baum & Olin Liu, 1994. "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," Boston College Working Papers in Economics 275., Boston College Department of Economics. [Downloadable!]
  255. Dupont, Dominique Y., 2001. "Hedging Barrier Options: Current Methods and Alternatives," Economics Series 103, Institute for Advanced Studies. [Downloadable!]
  256. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options," 2005 Annual meeting, July 24-27, Providence, RI 19183, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  257. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001. [Downloadable!]
Did you know? You can use IDEAS to provide links to papers and articles in your course syllabus.

This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.