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Citations for "The Finite Moment Log Stable Process and Option Pricing"

by Peter Carr & Liuren Wu

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  1. Fu, Jun & Yang, Hailiang, 2012. "Equilibruim approach of asset pricing under Lévy process," European Journal of Operational Research, Elsevier, vol. 223(3), pages 701-708.
  2. Akihiko Takahashi & Akira Yamazaki, 2008. "Efficient Static Replication of European Options under Exponential Levy Models," CIRJE F-Series CIRJE-F-539, CIRJE, Faculty of Economics, University of Tokyo.
  3. 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.
  4. Timothy Falcon Crack & Olivier Ledoit, 2010. "Central limit theorems when data are dependent: addressing the pedagogical gaps," IEW - Working Papers 480, Institute for Empirical Research in Economics - University of Zurich.
  5. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
  6. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  7. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  8. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  9. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
  10. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
  11. J. Huston McCulloch, 2004. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion," Computing in Economics and Finance 2004 13, Society for Computational Economics.
  12. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
  13. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics.
  14. Mike Giles & Yuan Xia, 2014. "Multilevel Monte Carlo For Exponential L\'{e}vy Models," Papers 1403.5309, arXiv.org.
  15. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA.
  16. Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics.
  17. Prasad V. Bidarkota & Brice V. Dupoyet & J. Huston McCulloch, 2005. "Asset Pricing with Incomplete Information under Stable Shocks," Working Papers 0514, Florida International University, Department of Economics.
  18. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA.
  19. Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.
  20. Lindström, Erik & Ströjby, Jonas & Brodén, Mats & Wiktorsson, Magnus & Holst, Jan, 2008. "Sequential calibration of options," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2877-2891, February.
  21. �lvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
  22. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  23. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  24. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
  25. Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October.
  26. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  27. Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
  28. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  29. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
  30. 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.
  31. Jian Chen & Xiaoquan Liu & Chenghu Ma, 2013. "Risk-neutral and Physical Jumps in Option Pricing," Papers 2013-10-14, Working Paper.
  32. J. Huston McCulloch, 2003. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Working Papers 03-07, Ohio State University, Department of Economics.
  33. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
  34. Bertram Düring & Erik Lüders, 2005. "Option Prices Under Generalized Pricing Kernels," Review of Derivatives Research, Springer, vol. 8(2), pages 97-123, August.
  35. 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.
  36. Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
  37. repec:wyi:journl:002117 is not listed on IDEAS
  38. Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
  39. Bin Chen & Yongmiao Hong, 2013. "Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri," Papers 2013-10-14, Working Paper.
  40. Edwards, Craig, 2006. "Integrating delta: An intuitive single-integral approach to pricing European options on diverse stochastic processes," Economics Letters, Elsevier, vol. 92(1), pages 20-25, July.
  41. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
  42. Akihiko Takahashi & Akira Yamazaki, 2007. "Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in "Journal of Futures Markets", Vol.29-1, 1-15, 2009. )," CARF F-Series CARF-F-105, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  43. Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra.
  44. Ma, Chunhua & Yang, Xu, 2014. "Small noise fluctuations of the CIR model driven by α-stable noises," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 1-11.
  45. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
  46. repec:wyi:journl:002142 is not listed on IDEAS
  47. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  48. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  49. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
  50. Yacine A�t-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-50, December.
  51. Alvaro Cartea, 2005. "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance 0508, Birkbeck, Department of Economics, Mathematics & Statistics.
  52. Curdin Ott, 2014. "Bottleneck options," Finance and Stochastics, Springer, vol. 18(4), pages 845-872, October.
  53. Mijatović, Aleksandar & Pistorius, Martijn R., 2012. "On the drawdown of completely asymmetric Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3812-3836.
  54. Pawel J. Szerszen, 2009. "Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis," Finance and Economics Discussion Series 2009-40, Board of Governors of the Federal Reserve System (U.S.).
  55. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
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