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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. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
  7. 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.
  8. Álvaro 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.
  9. 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.
  10. 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.
  11. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  12. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  13. Indranil Sengupta, 2016. "Generalized Bn–S Stochastic Volatility Model For Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 01-23.
  14. 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.
  15. Sun, Qi & Xu, Weidong, 2015. "Pricing foreign equity option with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 89-100.
  16. fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
  17. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
  18. 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.
  19. repec:wyi:journl:002142 is not listed on IDEAS
  20. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  21. 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.
  22. 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.
  23. 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.
  24. Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
  25. 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.
  26. Bin Chen & Yongmiao Hong, 2013. "Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  27. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
  28. Jean-Philippe Aguilar & Cyril Coste, 2016. "Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model," Papers 1609.00987, arXiv.org, revised Nov 2016.
  29. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
  30. 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.
  31. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA.
  32. Wang, Xiaohu & Yu, Jun, 2016. "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, vol. 193(1), pages 35-53.
  33. 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.
  34. 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.
  35. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
  36. Carlo Marinelli & Stefano d'Addona, 2015. "Nonparametric estimates of pricing functionals," Papers 1506.06568, arXiv.org.
  37. 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.).
  38. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA.
  39. 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.
  40. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
  41. Yacine Aït-Sahalia & Jean Jacod, 2010. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers 15808, National Bureau of Economic Research, Inc.
  42. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  43. 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.
  44. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
  45. 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.
  46. 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.
  47. Coqueret, Guillaume, 2015. "On the supremum of the spectrally negative stable process with drift," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 333-340.
  48. Yang, Xu, 2017. "Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 18-27.
  49. 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.
  50. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
  51. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
  52. repec:wsi:ijfexx:v:03:y:2016:i:01:p:1650006-01-1650006-27 is not listed on IDEAS
  53. 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.
  54. 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.
  55. 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.
  56. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
  57. Curdin Ott, 2014. "Bottleneck options," Finance and Stochastics, Springer, vol. 18(4), pages 845-872, October.
  58. repec:wyi:journl:002117 is not listed on IDEAS
  59. Christensen Sören & Irle Albrecht, 2013. "American Options with guarantee – A class of two-sided stopping problems," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 237-254, August.
  60. 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.
  61. Bertram Düring & Erik Lüders, 2005. "Option Prices Under Generalized Pricing Kernels," Review of Derivatives Research, Springer, vol. 8(2), pages 97-123, August.
  62. Jian Chen & Xiaoquan Liu & Chenghu Ma, 2013. "Risk-neutral and Physical Jumps in Option Pricing," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  63. Li, Minqiang, 2008. "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper 6867, University Library of Munich, Germany.
  64. 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.
  65. Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015. "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, vol. 134(C), pages 16-19.
  66. Jean-Philippe Aguilar & Cyril Coste & Hagen Kleinert & Jan Korbel, 2016. "Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry," Papers 1611.04320, arXiv.org, revised Nov 2016.
  67. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
  68. Mike Giles & Yuan Xia, 2014. "Multilevel Monte Carlo For Exponential L\'{e}vy Models," Papers 1403.5309, arXiv.org.
  69. Yacine Aït-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.
  70. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.