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Citations for "Approximate option valuation for arbitrary stochastic processes"

by Jarrow, Robert & Rudd, Andrew

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  1. Eric Jacquier & Robert Jarrow, . "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 07-96, Wharton School Rodney L. White Center for Financial Research.
  2. Stephen Satchell & George Christodoulakis, 1996. "The Simulation of Option Prices with Application to LIFFE Options on Futures," Archive Working Papers 007, Birkbeck, Department of Economics, Mathematics & Statistics.
  3. Li, Minqiang & Deng, Shijie & Zhou, Jieyun, 2008. "Multi-asset Spread Option Pricing and Hedging," MPRA Paper 8259, University Library of Munich, Germany.
  4. Jondeau, E. & Rockinger, M., 1998. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
  5. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
  6. Lam, K. & Chang, E. & Lee, M. C., 2002. "An empirical test of the variance gamma option pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 267-285, June.
  7. Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge.
  8. Sheri Markose & Amadeo Alentorn, 2005. "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers 594, University of Essex, Department of Economics.
  9. Honda, Tetsuhiro & Tamaki, Kenichiro & Shiohama, Takayuki, 2010. "Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations," Finance Research Letters, Elsevier, vol. 7(1), pages 60-69, March.
  10. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
  11. Rubio Irigoyen, Gonzalo & León, Angel, 2003. "Smiling under stochastic volatility," DFAEII Working Papers 2002-02, University of the Basque Country - Department of Foundations of Economic Analysis II.
  12. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
  13. Jacquier, Eric & Jarrow, Robert, 2000. "Bayesian analysis of contingent claim model error," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 145-180.
  14. León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
  15. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
  16. Birke, Melanie & Pilz, Kay F., 2007. "Nonparametric option pricing with no-arbitrage constraints," Technical Reports 2007,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  17. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
  18. Yacine Aït-Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
  19. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  20. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
  21. Carey, Alexander, 2006. "Higher-order volatility: dynamics and sensitivities," MPRA Paper 5009, University Library of Munich, Germany.
  22. Alessandro BEBER & Michael W. BRANDT, 2004. "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series rp105, International Center for Financial Asset Management and Engineering.
  23. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  24. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
  25. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
  26. Polkovnichenko, Valery & Zhao, Feng, 2013. "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 580-609.
  27. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  28. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
  29. Leon, Angel & Rubio, Gonzalo & Serna, Gregorio, 2005. "Autoregresive conditional volatility, skewness and kurtosis," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 599-618, September.
  30. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  31. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
  32. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc.
  33. Jean-Baptiste Monnier, 2013. "Technical report : Risk-neutral density recovery via spectral analysis," Papers 1302.2567, arXiv.org.
  34. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  35. repec:wyi:journl:002108 is not listed on IDEAS
  36. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
  37. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
  38. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
  39. 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.
  40. Sheri Markose & Amadeo Alentorn, 2005. "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005 397, Society for Computational Economics.
  41. Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
  42. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
  43. Davis, Graham A., 1998. "Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 725-754.
  44. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.
  45. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  46. Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.
  47. Husmann, Sven, 2005. "On Estimating an Asset's Implicit Beta," Discussion Papers 238, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  48. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
  49. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  50. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
  51. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
  52. Carey, Alexander, 2005. "Higher-order volatility," MPRA Paper 4993, University Library of Munich, Germany.
  53. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.).
  54. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  55. Tanya Ara\'ujo & Jo\~ao Dias & Samuel Eleut\'erio & Francisco Lou\c{c}\~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
  56. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  57. Morel, Christophe & Teiletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Economics Papers from University Paris Dauphine 123456789/12956, Paris Dauphine University.
  58. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA.
  59. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de Espa�a Working Papers 0504, Banco de Espa�a.
  60. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
  61. Williamson, Brendon & Villano, Renato A. & Fleming, Euan M., 2008. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5992, Australian Agricultural and Resource Economics Society.
  62. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
  63. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
  64. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  65. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, 06.
  66. repec:wyi:wpaper:002011 is not listed on IDEAS
  67. Nguyen Thanh Long, 2002. "Analytical Aproach to Value Options with State Variables of a Levy System," Finance 0207004, EconWPA, revised 19 Nov 2002.
  68. Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
  69. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
  70. Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
  71. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  72. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250058-1-1.
  73. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
  74. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
  75. 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.).
  76. Peter Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Paper 9214, Federal Reserve Bank of Cleveland.
  77. Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005. "Do Options Contain Information About Excess Bond Returns?," IBMEC RJ Economics Discussion Papers 2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  78. William T. Shaw & Ian R. C. Buckley, 2009. "The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map," Papers 0901.0434, arXiv.org.
  79. Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance 0206005, EconWPA.
  80. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA.
  81. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
  82. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
  83. Kaehler, Jürgen, 1993. "Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models," ZEW Discussion Papers 93-19, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  84. R. Stafford Johnson & Richard Zuber & John Gandar, 2006. "Binomial pricing of fixed-income securities for increasing and decreasing interest rate cases," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1029-1046.
  85. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  86. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  87. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2002. "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics 24938, London School of Economics and Political Science, LSE Library.
  88. León, Angel & Serna, Gregorio & Rubio Irigoyen, Gonzalo, 2004. "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers 2002-06, University of the Basque Country - Department of Foundations of Economic Analysis II.
  89. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona Graduate School of Economics.
  90. Bhandari, Rishabh & Das, Sanjiv R., 2009. "Options on portfolios with higher-order moments," Finance Research Letters, Elsevier, vol. 6(3), pages 122-129, September.
  91. 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.
  92. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  93. Schaefer, Matthew P., 2002. "Pricing And Hedging European Options On Futures Spreads Using The Bachelier Spread Option Model," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19055, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  94. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
  95. Ji, Dasheng & Brorsen, B. Wade, 2000. "Increasing The Accuracy Of Option Pricing By Using Implied Parameters Related To Higher Moments," 2000 Conference, April 17-18 2000, Chicago, Illinois 18945, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  96. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
  97. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 479-488.
  98. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  99. 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.
  100. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
  101. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
  102. repec:wyi:wpaper:002024 is not listed on IDEAS