Empirical option pricing: A retrospection

DOI10.1016/S0304-4076(03)00113-1zbMath1027.62073MaRDI QIDQ1398987

David S. Bates

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Time series analysisOption pricingDerivativesAffine modelsRisk-neutral distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (26)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• The dynamics of the S\&P 500 implied volatility surface
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• Alternative models for stock price dynamics.
• Empirical reverse engineering of the pricing kernel.
• Nonparametric risk management and implied risk aversion
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Theory of the Term Structure of Interest Rates
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• Modeling and Forecasting Realized Volatility

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