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Citations for "Option pricing when underlying stock returns are discontinuous"

by Merton, Robert C.

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  1. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  2. Thomas Coleman & Yuying Li & Cheng Wang, 2013. "Stable local volatility function calibration using spline kernel," Computational Optimization and Applications, Springer, vol. 55(3), pages 675-702, July.
  3. 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.
  4. Junye Lia & Carlo Favero & Fulvio Ortu, 2010. "A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing," Working Papers 370, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, EconWPA.
  6. Chang, Lung-fu & Hung, Mao-wei, 2009. "Analytical valuation of catastrophe equity options with negative exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 59-69, February.
  7. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
  8. repec:wyi:journl:002113 is not listed on IDEAS
  9. Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  10. Shackleton, Mark B. & Voukelatos, Nikolaos, 2013. "Hedging efficiency in the Greek options market before and after the financial crisis of 2008," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 1-18.
  11. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  12. Virmani, Vineet, . "Model Risk in Pricing Path-dependent Derivatives: An Illustration," IIMA Working Papers WP2014-03-22, Indian Institute of Management Ahmedabad, Research and Publication Department.
  13. Mathias Trabs, 2011. "Calibration of selfdecomposable Lévy models," SFB 649 Discussion Papers SFB649DP2011-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
  15. Carey, Alexander, 2010. "Higher-order volatility: time series," MPRA Paper 21087, University Library of Munich, Germany.
  16. Kuminoff, Nicolai V. & Wossink, Ada, 2005. "Valuing the Option to Convert from Conventional to Organic Farming," 2005 Annual meeting, July 24-27, Providence, RI 19531, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  17. Madan, Dilip B. & Wang, King, 2016. "Nonrandom price movements," Finance Research Letters, Elsevier, vol. 17(C), pages 103-109.
  18. Neil Shephard & Tina Hviid Rydberg, 1999. "A modelling framework for the prices and times of trades made on the New York stock exchange," Economics Series Working Papers 1999-W14, University of Oxford, Department of Economics.
  19. Lindset, Snorre & Persson, Svein-Arne, 2008. "Continuous Monitoring: Look before You Leap," Discussion Papers 2008/8, Department of Business and Management Science, Norwegian School of Economics.
  20. Richard Lu & Yi-Hwa Hsu, 2005. "Valuation of Standard Options under the Constant Elasticity of Variance Model," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 4(2), pages 157-165, August.
  21. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
  22. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
  23. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
  24. Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
  25. Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
  27. Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society.
  28. Frauendorfer, Karl & Jacoby, Ulrich & Schwendener, Alvin, 2007. "Regime switching based portfolio selection for pension funds," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2265-2280, August.
  29. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  30. Bernardo Guimaraes, 2008. "Vulnerability of Currency Pegs: Evidence from Brazil," CEP Discussion Papers dp0871, Centre for Economic Performance, LSE.
  31. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
  32. Christian Ullrich, 2013. "Valuation of IT Investments Using Real Options Theory," Business & Information Systems Engineering- The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 5(5), pages 331-341, October.
  33. Guimarães, Bernardo, 2007. "Currency Crisis Triggers: Sunspots or Thresholds?," CEPR Discussion Papers 6487, C.E.P.R. Discussion Papers.
  34. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
  35. Ning Cai & S. G. Kou, 2011. "Option Pricing Under a Mixed-Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 57(11), pages 2067-2081, November.
  36. René Garcia & Éric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.
  37. Haug, Espen Gaarder & Taleb, Nassim Nicholas, 2011. "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 97-106, February.
  38. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
  39. Robert Engle & Emil Siriwardane, 2014. "Structural GARCH: The Volatility-Leverage Connection," Working Papers 14-07, Office of Financial Research, US Department of the Treasury.
  40. Martzoukos, Spiros H & Zacharias, Eleftherios, 2008. "Real Option Games with R&D and Learning Spillovers," MPRA Paper 12686, University Library of Munich, Germany.
  41. Neil Shephard & Ole E. Barndorff-Nielsen, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Series Working Papers 2003-W18, University of Oxford, Department of Economics.
  42. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  43. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  44. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  45. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
  46. Suda, Shintaro & Muroi, Yoshifumi, 2015. "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110.
  47. Jeroen Rombouts & Lars Peter Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers 2010s-38, CIRANO.
  48. Ricardo Hausmann, 1995. "Dealing with Negative Oil Shocks: The Venezuelan Experience in the Eighties," Research Department Publications 4010, Inter-American Development Bank, Research Department.
  49. Damien Lamberton & Mohammed Mikou, 2008. "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, vol. 12(4), pages 561-581, October.
  50. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
  51. da Fonseca, Regina C.B. & Figueiredo, Annibal & de Castro, Márcio T. & Mendes, Fábio M., 2013. "Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1671-1680.
  52. Câmara, António & Popova, Ivilina & Simkins, Betty, 2012. "A comparative study of the probability of default for global financial firms," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 717-732.
  53. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
  54. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  55. Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014. "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 667-690, May.
  56. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
  57. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
  58. repec:dau:papers:123456789/5374 is not listed on IDEAS
  59. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
  60. Moraux, Franck, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
  61. Flavia Cortelezzi & Pierpaolo Giannoccolo, 2006. "Strategic Urban Development under Uncertainty," Working Papers 20060601, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Jun 2006.
  62. Lambrecht, Bart & Perraudin, William, 2003. "Real options and preemption under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 619-643, February.
  63. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
  64. 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.
  65. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006. "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 12(3), pages 191-209, October.
  66. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
  67. Konstantinos Skindilias & Chia Lo, 2015. "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 425-444, April.
  68. Peter Carr, 1996. "Valuing Finite-Lived Options as Perpetual," Finance 9607002, EconWPA.
  69. Siddiqi, Hammad, 2014. "The Financial Market Consequences of Growing Awareness: The Case of Implied Volatiltiy Skew," Risk and Sustainable Management Group Working Papers 162568, University of Queensland, School of Economics.
  70. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series 1997-15, Board of Governors of the Federal Reserve System (U.S.).
  71. Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
  72. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
  73. Marc Chesney & Luca Taschini, 2008. "The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing," Swiss Finance Institute Research Paper Series 08-01, Swiss Finance Institute, revised Jan 2008.
  74. Dennis Kristensen, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  75. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
  76. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
  77. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  78. Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015. "Approximate Hedging Of Options Under Jump-Diffusion Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1550024-1-1.
  79. 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.
  80. Gatzert, Nadine & Schmeiser, Hato, 2008. "The influence of corporate taxes on pricing and capital structure in property-liability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 50-58, February.
  81. Frédéric Planchet & Pierre-Emmanuel Thérond, 2007. "Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie : présentation et mise en oeuvre dans la réglementation française et dans un référentiel de type," Post-Print hal-00443028, HAL.
  82. Noureddine Krichene, 2006. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 06/299, International Monetary Fund.
  83. Zhang, Xiaolan, 1995. "Formules quasi-explicites pour les options américaines dans un modèle de diffusion avec sauts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 151-161.
  84. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, Reading University.
  85. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
  86. Patrick Asea & Mthuli Nube, 1997. "Heterogeneous Information Arrival and Option Pricing," UCLA Economics Working Papers 763, UCLA Department of Economics.
  87. Mario Gutiérrez Lagunes, 2010. "La sectorización económica y su vinculación con la probabilidad de incumplimiento," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 93-110.
  88. 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.
  89. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
  90. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
  91. Tang, Amy & Chiara, Nicola & Taylor, John E., 2012. "Financing renewable energy infrastructure: Formulation, pricing and impact of a carbon revenue bond," Energy Policy, Elsevier, vol. 45(C), pages 691-703.
  92. Pfann, Gerard A., 2001. "Downsizing," IZA Discussion Papers 307, Institute for the Study of Labor (IZA).
    • Gerard A. Pfann, 2001. "Downsizing," Working Papers 0110, Harris School of Public Policy Studies, University of Chicago.
  93. Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  94. J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Papers physics/0611138, arXiv.org.
  95. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
  96. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
  97. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
  98. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
  99. Hanno Gottschalk & Elpida Nizami, 2016. "Option Pricing in Markets with Unknown Stochastic Dynamics," Papers 1602.04848, arXiv.org.
  100. Nicolas Merener & Paul Glasserman, 2003. "Numerical solution of jump-diffusion LIBOR market models," Finance and Stochastics, Springer, vol. 7(1), pages 1-27.
  101. Peña Sánchez de Rivera, Juan Ignacio & Moreno, Manuel, 1995. "On the term structure of Interbank interest rates: jump-diffusion processes and option pricing," DES - Working Papers. Statistics and Econometrics. WS 7074, Universidad Carlos III de Madrid. Departamento de Estadística.
  102. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
  103. Lo Nigro, Giovanna & Morreale, Azzurra & Enea, Gianluca, 2014. "Open innovation: A real option to restore value to the biopharmaceutical R&D," International Journal of Production Economics, Elsevier, vol. 149(C), pages 183-193.
  104. 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.
  105. Feng Dai, 2005. "The DF Structure Models for Options Pricing On the Dividend- Paying and Capital-Splitting," Finance 0508012, EconWPA.
  106. Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis," Papers 1606.02045, arXiv.org.
  107. Flavia Cortelezzi & Giovanni Villani, 2007. "Strategic Technology Adoption and Market Dynamics as Option Games," Quaderni DSEMS 14-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  108. Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 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).
  109. Klaus Wälde, 2009. "Production Technologies in Stochastic Continuous Time Models," CESifo Working Paper Series 2831, CESifo Group Munich.
  110. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
  111. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
  112. Guido VENIER, 2008. "A New Model For Stock Price Movements," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(3(5)_Fall), pages 329-350.
  113. Ramprasath, L. & Singh, Kesar, 2007. "Statistical options: Crash resistant financial contracts based on robust estimation," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 196-203, January.
  114. Cui, Jing & Zhao, Hua, 2015. "Intraday jumps in China's Treasury bond market and macro news announcements," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 211-223.
  115. Benoît Sévi & César Baena, 2012. "A reassessment of the risk-return tradeoff at the daily horizon," Economics Bulletin, AccessEcon, vol. 32(1), pages 190-203.
  116. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xi-Li & Wang, Ying-Luo, 2010. "Pricing currency options in a fractional Brownian motion with jumps," Economic Modelling, Elsevier, vol. 27(5), pages 935-942, September.
  117. Nowak, Piotr & Romaniuk, Maciej, 2013. "Pricing and simulations of catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 18-28.
  118. Kromer, E. & Overbeck, L. & Röder, J.A.L., 2015. "Feynman–Kac for functional jump diffusions with an application to Credit Value Adjustment," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 120-129.
  119. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Society for Computational Economics, vol. 29(3), pages 283-312, May.
  120. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  121. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
  122. 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.
  123. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
  124. Nagaratnam J Sreedharan, 2004. "A VECM Model of Stockmarket Returns," Econometric Society 2004 Australasian Meetings 166, Econometric Society.
  125. Vaugirard, Victor E., 2003. "Pricing catastrophe bonds by an arbitrage approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 119-132.
  126. 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.
  127. Cai, Ning & Sun, Lihua, 2014. "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 213-241.
  128. Björk, Tomas & Slinko, Irina, 2004. "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance 595, Stockholm School of Economics.
  129. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
  130. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  131. repec:hal:journl:peer-00732538 is not listed on IDEAS
  132. Feng Dai & Zifu Qin, 2004. "Df Structure Models For Options Pricing," Finance 0403005, EconWPA.
  133. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  134. Saikat Nandi, 2000. "Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity?," Review of Derivatives Research, Springer, vol. 3(3), pages 215-236, October.
  135. Pfann, Gerard Antonie, 2000. "Options to Quit," CEPR Discussion Papers 2563, C.E.P.R. Discussion Papers.
  136. Kliber, Pawel, 2008. "A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns," MPRA Paper 22541, University Library of Munich, Germany.
  137. Victor Vaugirard, 2001. "Monte Carlo applied to exotic digital options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(3), pages 183-196.
  138. Mrázek, Milan & Pospíšil, Jan & Sobotka, Tomáš, 2016. "On calibration of stochastic and fractional stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1036-1046.
  139. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Universite de Montreal, Departement de sciences economiques.
  140. Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
  141. Hsu, Yuan-Lin & Lin, Shih-Kuei & Hung, Ming-Chin & Huang, Tzu-Hui, 2016. "Empirical analysis of stock indices under a regime-switching model with dependent jump size risks," Economic Modelling, Elsevier, vol. 54(C), pages 260-275.
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