IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v42y1987i2p281-300.html
   My bibliography  Save this item

The Pricing of Options on Assets with Stochastic Volatilities

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  2. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Papers cond-mat/9902047, arXiv.org.
  3. 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.
  4. Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
  5. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  6. 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.
  7. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  8. Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
  9. Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  10. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  11. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
  12. Karel Brůna, 2009. "Měnová politika a predikce variability úrokových sazeb na peněžním trhu [Monetary policy and prediction of variability]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(3), pages 361-382.
  13. Andronikos Paliathanasis & K. Krishnakumar & K.M. Tamizhmani & Peter G.L. Leach, 2016. "Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility," Mathematics, MDPI, vol. 4(2), pages 1-14, May.
  14. Hung-Hsi Huang & Ching-Ping Wang & Shiau-Hung Chen, 2011. "Pricing Taiwan option market with GARCH and stochastic volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 747-754.
  15. 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.
  16. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
  17. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  18. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
  19. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  20. Rojas-Bernal, Alejandro & Villamizar-Villegas, Mauricio, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
  21. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
  22. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
  23. 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;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 227-236, November.
  24. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September.
  25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  26. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
  27. A. Paliathanasis & K. Krishnakumar & K. M. Tamizhmani & P. G. L. Leach, 2015. "Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility," Papers 1508.06797, arXiv.org, revised May 2016.
  28. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
  29. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  30. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  31. Boyle, Phelim & Draviam, Thangaraj, 2007. "Pricing exotic options under regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 267-282, March.
  32. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
  33. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
  34. Nairobi Nairobi & Edwin Russel & Ambya Ambya & Arif Darmawan & Mustofa Usman & Wamiliana Wamiliana, 2020. "Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian s Export over the Years 2008-2019," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 175-184.
  35. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
  36. Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019. "Comparative Study of Two Extensions of Heston Stochastic Volatility Model," Papers 1912.10237, arXiv.org.
  37. Li, Junye, 2013. "An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 15-26.
  38. Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  39. Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
  40. 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.
  41. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
  42. Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
  43. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
  44. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
  45. Baaquie, Belal E. & Yu, Miao, 2017. "Option price and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 512-535.
  46. 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.
  47. repec:lan:wpaper:3046 is not listed on IDEAS
  48. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
  49. 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.
  50. Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.
  51. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  52. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
  53. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
  54. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
  55. Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
  56. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
  57. McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010. "A simple expected volatility (SEV) index: Application to SET50 index options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
  58. Sol Kim & In Jung Song, 2021. "The traders' rule and long‐term options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 406-436, March.
  59. Y. Wang & H. Yin & L. Qi, 2004. "No-Arbitrage Interpolation of the Option Price Function and Its Reformulation," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 627-649, March.
  60. Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
  61. Alberto Bueno-Guerrero & Steven P. Clark, 2023. "Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps," Mathematics, MDPI, vol. 12(1), pages 1-39, December.
  62. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  63. Andrea J. Heuson & Tie Su, 2003. "Intra–day Behavior of Treasury Sector Index Option Implied Volatilities around Macroeconomic Announcements," The Financial Review, Eastern Finance Association, vol. 38(1), pages 161-177, February.
  64. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  65. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
  66. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  67. Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il, 2019. "Solution of option pricing equations using orthogonal polynomial expansion," Papers 1912.06533, arXiv.org, revised Jun 2020.
  68. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
  69. Minqiang Li & Fabio Mercurio, 2015. "Analytic Approximation of Finite‐Maturity Timer Option Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(3), pages 245-273, March.
  70. Liexin Cheng & Xue Cheng, 2024. "Decomposing Smiles: A Time Change Approach," Papers 2401.03776, arXiv.org, revised Jan 2024.
  71. Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
  72. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  73. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
  74. Tong, Zhigang & Liu, Allen, 2022. "Pricing variance swaps under subordinated Jacobi stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  75. Giorgia Callegaro & Martino Grasselli & Gilles Paèes, 2021. "Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 221-254, February.
  76. Soini, Vesa & Lorentzen, Sindre, 2019. "Option prices and implied volatility in the crude oil market," Energy Economics, Elsevier, vol. 83(C), pages 515-539.
  77. Douc, Randal & Olsson, Jimmy & Roueff, François, 2020. "Posterior consistency for partially observed Markov models," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 733-759.
  78. Yacin Jerbi, 2015. "A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2041-2052, December.
  79. Wendong Zheng & Pingping Zeng, 2015. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Papers 1504.08136, arXiv.org.
  80. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
  81. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
  82. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 3-46.
  83. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
  84. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
  85. Mihaela Craioveanu & Eric Hillebrand, 2012. "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers 1201, University of Central Missouri, Department of Economics & Finance, revised Aug 2012.
  86. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 25-41.
  87. Lieberman, Offer & Phillips, Peter C.B., 2017. "A multivariate stochastic unit root model with an application to derivative pricing," Journal of Econometrics, Elsevier, vol. 196(1), pages 99-110.
  88. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
  89. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  90. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
  91. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  92. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  93. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
  94. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  95. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.
  96. Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
  97. Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
  98. Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
  99. Minqiang Li, 2015. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 582-595, June.
  100. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  101. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  102. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  103. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
  104. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  105. Mei-Ling Cai & Zhang-HangJian Chen & Sai-Ping Li & Xiong Xiong & Wei Zhang & Ming-Yuan Yang & Fei Ren, 2022. "New volatility evolution model after extreme events," Papers 2201.03213, arXiv.org.
  106. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012. "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 495-512, June.
  107. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
  108. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
  109. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  110. Loddo, Antonello & Ni, Shawn & Sun, Dongchu, 2011. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 342-355.
  111. Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
  112. Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
  113. Roman Frydman & Nicholas Mangee, 2021. "Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic," JRFM, MDPI, vol. 14(11), pages 1-13, November.
  114. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  115. Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010. "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, in: Maximum Simulated Likelihood Methods and Applications, pages 137-161, Emerald Group Publishing Limited.
  116. Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
  117. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
  118. Kuldip Singh Patel & Mani Mehra, 2018. "Fourth-Order Compact Scheme For Option Pricing Under The Merton’S And Kou’S Jump-Diffusion Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-26, June.
  119. Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
  120. Jondeau, Eric & Rockinger, Michael, 2000. "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
  121. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
  122. Kim, Hyun-Gyoon & Kim, Jeong-Hoon, 2023. "A stochastic-local volatility model with Le´vy jumps for pricing derivatives," Applied Mathematics and Computation, Elsevier, vol. 451(C).
  123. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
  124. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
  125. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47.
  126. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  127. Kohlmann, Michael & Tang, Shanjian, 2002. "Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 255-288, February.
  128. Isakov, Dusan & Perignon, Christophe, 2001. "Evolution of market uncertainty around earnings announcements," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1769-1788, September.
  129. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.
  130. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
  131. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  132. Liang-Ching Lin & Li-Hsien Sun, 2019. "Modeling financial interval time series," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-20, February.
  133. David G. McMillan & Pako Thupayagale, 2009. "The efficiency of African equity markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 275-292, October.
  134. 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.
  135. Adam Kolkiewicz & Ken Tan, 2004. "Volatility Risk For Regime-Switching Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(4), pages 127-145.
  136. Wang, XiaoTian & Yang, ZiJian & Cao, PiYao & Wang, ShiLin, 2021. "The closed-form option pricing formulas under the sub-fractional Poisson volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  137. van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
  138. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
  139. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Center for Research in Economics and Statistics.
  140. Tan, Abby, 2006. "Long-memory volatility in derivative hedging," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 689-696.
  141. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  142. Erhard Reschenhofer, 2010. "Forecasting volatility: double averaging and weighted medians," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 317-326.
  143. Yixiao Jiang, 2020. "A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface," JRFM, MDPI, vol. 13(11), pages 1-12, November.
  144. Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo.
  145. Lin, Y.-T. & Shih, Y.-T. & Chien, C.-S. & Sheng, Q., 2021. "A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing," Applied Mathematics and Computation, Elsevier, vol. 393(C).
  146. Neil Shephard & Michael K. Pitt, 1999. "Auxiliary variable based particle filters," Economics Series Working Papers 1999-W13, University of Oxford, Department of Economics.
  147. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
  148. Da Silva, M. E. & Guimarães, B. V., 1999. "Precificação de Opções com Volatilidade Estocástica e Saltos," Finance Lab Working Papers flwp_11, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  149. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  150. E. Ngounda & K. C. Patidar & E. Pindza, 2014. "A Robust Spectral Method for Solving Heston’s Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 164-178, April.
  151. Michele Azzone & Roberto Baviera, 2023. "Is (independent) subordination relevant in option pricing?," Papers 2307.08628, arXiv.org, revised Oct 2023.
  152. Arnaud Gloter, 2007. "Efficient estimation of drift parameters in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(4), pages 495-519, October.
  153. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  154. Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
  155. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  156. Henry L. Bryant & Michael S. Haigh, 2005. "Derivative pricing model and time‐series approaches to hedging: A comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(7), pages 613-641, July.
  157. Bloom, Nicholas & Bunn, Philip & Chen, Scarlet & Mizen, Paul & Smietanka, Pawel & Thwaites, Gregory, 2019. "The impact of Brexit on UK firms," Bank of England working papers 818, Bank of England.
  158. Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
  159. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, January.
  160. Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 335-365, September.
  161. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
  162. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
  163. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.