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Citations for "Option values under stochastic volatility: Theory and empirical estimates"

by Wiggins, James B.

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  1. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
  2. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  3. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  4. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," Working Papers in Economics 10/60, University of Canterbury, Department of Economics and Finance.
  5. Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
  6. 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.
  7. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  8. 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.
  9. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
  10. George Skiadopoulos & Stewart Hodges & Les Clewlow, 2000. "The Dynamics of the S&P 500 Implied Volatility Surface," Review of Derivatives Research, Springer, vol. 3(3), pages 263-282, October.
  11. Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "An empirical test of the BS and CSR valuation models for warrants listed in Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 465-483, December.
  12. 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.
  13. Naoto Kunitomo & Yong-Jin Kim, 2001. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version)," CIRJE F-Series CIRJE-F-129, CIRJE, Faculty of Economics, University of Tokyo.
  14. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
  15. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
  16. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
  17. 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.
  18. Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
  19. Fig-Talamanca, Gianna, 2009. "Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2201-2218, April.
  20. Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
  21. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
  22. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  23. Schwert, G.W. & Seguin, P.J., 1988. "Heteroskedasticity In Stock Returns," Papers bc_88-02, Rochester, Business - General.
  24. 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.
  25. 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.
  26. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  27. Kaehler, Jürgen, 1991. "Modelling and forecasting exchange-rate volatility with ARCH-type models," ZEW Discussion Papers 91-02, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  28. Huang, Yu Chuan & Chen, Shing Chun, 2002. "Warrants pricing: Stochastic volatility vs. Black-Scholes," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 393-409, September.
  29. 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 & Francis Journals, vol. 6(2), pages 87-106.
  30. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  31. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Asymmetry and Leverage in Realized Volatility," CARF F-Series CARF-F-167, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  32. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  33. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
  34. HARDLE, Wolfgang & HAFNER, Christian M., . "Discrete time option pricing with flexible volatility estimation," CORE Discussion Papers RP -1439, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. Pindyck, Robert S. & Solimano, Andrés., 1993. "Economic instability and aggregate investment," Working papers 3552-93., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  36. 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.
  37. 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.
  38. Lin, Liang-Ching & Lee, Sangyeol & Guo, Meihui, 2013. "Goodness-of-fit test for stochastic volatility models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 473-498.
  39. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  40. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
  41. Bronka Rzepkowski, 2000. "The Expectations of Hong Kong Dollar Devaluation and Their Determinants," Working Papers 2000-04, CEPII research center.
  42. Jerzy P. Rydlewski & Ma{\l}gorzata Snarska, 2012. "On Geometric Ergodicity of Skewed - SVCHARME models," Papers 1209.1544, arXiv.org.
  43. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
  44. 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.
  45. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
  46. 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.
  47. Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
  48. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  49. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  50. Rydlewski, Jerzy P. & Snarska, Małgorzata, 2014. "On geometric ergodicity of skewed—SVCHARME models," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 192-197.
  51. Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
  52. 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.
  53. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June.
  54. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  55. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.
  56. 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.
  57. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
  58. Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2947-2969, December.
  59. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
  60. Eckhard Platen & Renata Rendek, 2010. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 282, Quantitative Finance Research Centre, University of Technology, Sydney.
  61. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  62. Touzi, Nizar, 2000. "Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 305-328, August.
  63. 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.
  64. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1997. "Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance," NBER Working Papers 5976, National Bureau of Economic Research, Inc.
  65. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  66. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
  67. Christian Kahl & Peter Jackel, 2006. "Fast strong approximation Monte Carlo schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 513-536.
  68. Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  69. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
  70. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
  71. Asai, Manabu, 2008. "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 332-341, March.
  72. Suk Joon Byun & Dong Woo Rhee & Sol Kim, 2011. "Intraday volatility forecasting from implied volatility," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(1), pages 83-100, February.
  73. Jean-Marie Dufour & René García & Abderrahim Taamouti, 2008. "Measuring causality between volatility and returns with high-frequency data," Economics Working Papers we084422, Universidad Carlos III, Departamento de Economía.
  74. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
  75. Minina, Vera & Vellekoop, Michel, 2010. "A risk reserve model for hedging in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1233-1247, July.
  76. Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org.
  77. Davidson, Wallace N. & Kim, Jin Kyoung & Ors, Evren & Szakmary, Andrew, 2001. "Using implied volatility on options to measure the relation between asset returns and variability," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1245-1269, July.
  78. Kim, In Joon & Park, Gun Youb, 2006. "An empirical comparison of implied tree models for KOSPI 200 index options," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 52-71.
  79. Hoffmann, Marc, 2002. "Rate of convergence for parametric estimation in a stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 147-170, January.
  80. 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.
  81. George Skiadopoulos & Dimitris Psychoyios, 2006. "Implied Volatility Process: Evidence from the Volatility Derivatives Markets," Working Papers wpn06-17, Warwick Business School, Finance Group.
  82. 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 Model with Conditional Heteroskedasticity," Cahiers de recherche 0004, Université Laval - Département d'économique.
  83. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
  84. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
  85. 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.
  86. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
  87. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics.
  88. 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.
  89. Aboura, Sofiane, 2005. "GARCH option pricing under skew," Economics Papers from University Paris Dauphine 123456789/2138, Paris Dauphine University.
  90. 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.
  91. Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk, 2012. "Valuation of power options under Heston's stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1796-1813.
  92. repec:hal:wpaper:hal-00409861 is not listed on IDEAS
  93. Vetzal, Kenneth R., 1997. "Stochastic volatility, movements in short term interest rates, and bond option values," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 169-196, February.
  94. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
  95. Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.
  96. Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.
  97. Roy Kouwenberg & Jacek Gondzio & Ton Vorst, 1999. "Hedging Options under Transaction Costs and Stochastic Volatility," Computing in Economics and Finance 1999 911, Society for Computational Economics.
  98. Jiang, G.J. & Sluis, P.J. van der, 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
  99. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
  100. Duan, Jin-Chuan & Zhang, Hua, 2001. "Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1989-2014, November.
  101. 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.
  102. Lei Shi, 2010. "Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
  103. Elisa Alòs, 2006. "A generalization of the Hull and White formula with applications to option pricing approximation," Finance and Stochastics, Springer, vol. 10(3), pages 353-365, September.
  104. Lee, Woojoo & Lim, Johan & Lee, Youngjo & del Castillo, Joan, 2011. "The hierarchical-likelihood approach to autoregressive stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 248-260, January.
  105. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  106. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
  107. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  108. Guo, Chen, 1998. "Option pricing with stochastic volatility following a finite Markov Chain," International Review of Economics & Finance, Elsevier, vol. 7(4), pages 407-415.
  109. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
  110. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.
  111. Kim, In Joon & Kim, Sol, 2004. "Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 117-142, April.
  112. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
  113. 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.
  114. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June.
  115. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  116. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12.
  117. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
  118. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  119. Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
  120. Georgievski, Alex & Masih, A. Mansur M., 2004. "An analysis of option pricing under systematic consumption risk using GARCH," Research in International Business and Finance, Elsevier, vol. 18(2), pages 151-171, June.
  121. Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco, 2014. "Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
    [A Comparative Analysis of Models for Estimating the Volatility Distribution o
    ," MPRA Paper 54845, University Library of Munich, Germany.
  122. Elisa Alòs & Rafael De Santiago & Josep Vives, 2012. "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers 1346, Department of Economics and Business, Universitat Pompeu Fabra.
  123. Kazmerchuk, Yuriy & Swishchuk, Anatoliy & Wu, Jianhong, 2007. "The pricing of options for securities markets with delayed response," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 69-79.