Citations for "Implementing Option Pricing Models When Asset Returns Are Predictable"
by Andrew W. Lo & Jiang Wang
- Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy.
- Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
- Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department.
- Bulan, Laarni & Mayer, Christopher & Somerville, C. Tsuriel, 2009.
"Irreversible investment, real options, and competition: Evidence from real estate development,"
Journal of Urban Economics,
Elsevier, vol. 65(3), pages 237-251, May.
- Laarni Bulan & Christopher J. Mayer & C. Tsuriel Somerville, 2006. "Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development," NBER Working Papers 12486, National Bureau of Economic Research, Inc.
- Laarni Bulan & Christopher Mayer & C. Tsuriel Somerville, . "Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development," Zell/Lurie Center Working Papers 391, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Pindyck, Robert S., 1998.
"The long-run evolution of energy prices,"
WP 4044-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Bossaerts, Peter & Hillion, Pierre, 1997. "Local parametric analysis of hedging in discrete time," Journal of Econometrics, Elsevier, vol. 81(1), pages 243-272, November.
- Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997.
"Econometric Models of Limit-Order Executions,"
NBER Working Papers
6257, National Bureau of Economic Research, Inc.
- Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009.
"Systemic Risk and the Refinancing Ratchet Effect,"
Harvard Business School Working Papers
10-023, Harvard Business School, revised Jul 2010.
- Hafner, Christian M. & Herwartz, Helmut, 2001.
"Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis,"
Journal of Empirical Finance,
Elsevier, vol. 8(1), pages 1-34, March.
- Hafner, Christian M. & Herwartz, Helmut, 1999. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers 1999,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Manuel Moreno & Pedro Jose Serrano & Winfried Stute, 2008.
"Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects,"
Business Economics Working Papers
wb084912, Universidad Carlos III, Departamento de Economía de la Empresa.
- 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.
- Lucia, Julio J. & Schwartz, Eduardo, 2000. "Electricity prices and power derivatives: Evidence from the Nordic Power Exchange," University of California at Los Angeles, Anderson Graduate School of Management qt12w8v7jj, Anderson Graduate School of Management, UCLA.
- Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014. "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 177-188.
- Gómez-Valle, Lourdes & Martinez-Rodriguez, Julia, 2008. "Modelling the term structure of interest rates: An efficient nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 614-623, April.
- Mohamadou L. Fadi & Yongsheng Wang, 2014. "Common Stochastic Volatility in International Real Estate Market," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 131-139.
- Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
- Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
- Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
- Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
- Mohamadou Fadiga & Yongsheng Wang, 2009. "A multivariate unobserved component analysis of US housing market," Journal of Economics and Finance, Springer, vol. 33(1), pages 13-26, January.
- Balvers, Ronald J. & Mitchell, Douglas W., 2000. "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 21-38, January.
- Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
- Yacine Ait-Sahalia & Andrew W. Lo, 2000.
"Nonparametric Risk Management and Implied Risk Aversion,"
NBER Working Papers
6130, National Bureau of Economic Research, Inc.
- 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.
- Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- 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.
- Tom Doan, . "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.
- Clapham, Eric & Gunnelin, Åke, 2003. "Rental Expectations and the Term Structure of Lease Rates," SIFR Research Report Series 16, Institute for Financial Research.
- Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013.
"Seasonality and the valuation of commodity options,"
Journal of Banking & Finance,
Elsevier, vol. 37(2), pages 273-290.
- Janis Back & Marcel Prokopczuk & Markus Rudolf, 2010. "Seasonality and the Valuation of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2010-08, Henley Business School, Reading University.
- Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012.
"Does stock return predictability affect ESO fair value?,"
European Journal of Operational Research,
Elsevier, vol. 223(1), pages 188-202.
- Carmona, Julio & León, Angel & Vaello-Sebastiá, Antoni, 2011. "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers 11-2, Universidad de Alicante, Departamento de Métodos Cuantitativos y Teoría Económica, revised 16 Jan 2012.
- 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.
- Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.
- Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
- 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.
- John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
- Rodriguez, Juan Carlos, 2006. "Consumption, the persistence of shocks, and asset price volatility," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1741-1760, November.
- Evan Gatev & Stephen A. Ross, 2000. "Rebels, Conformists, Contrarians and Momentum Traders," NBER Working Papers 7835, National Bureau of Economic Research, Inc.
- Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
- Rodriguez, J.C., 2007. "Option Pricing and Momentum," Discussion Paper 2007-93, Tilburg University, Center for Economic Research.
- Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance 0504016, EconWPA.