Empirical option pricing: a retrospection

[1]  T. Alderweireld,et al.  A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.

[2]  A. Gallant,et al.  Purebred or hybrid?: Reproducing the volatility in term structure dynamics , 2003 .

[3]  M. Chernov,et al.  Empirical reverse engineering of the pricing kernel , 2003 .

[4]  A. Gallant,et al.  Alternative models for stock price dynamics , 2003 .

[5]  René Garcia,et al.  The Econometrics of Option Pricing , 2003 .

[6]  Lars Peter Hansen,et al.  Robustness and Pricing with Uncertain Growth , 2002 .

[7]  Jeremy Berkowitz.  Getting the Right Option Price with the Wrong Model , 2001 .

[8]  R. Tompkins.  Implied volatility surfaces: uncovering regularities for options on financial futures , 2001 .

[9]  F. Diebold,et al.  The distribution of realized stock return volatility , 2001 .

[10]  G. Skiadopoulos.  VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY , 2001 .

[11]  Michael W. Brandt,et al.  Range-Based Estimation of Stochastic Volatility Models , 2001 .

[12]  Francis X. Diebold,et al.  Modeling and Forecasting Realized Volatility , 2001 .

[13]  Tyler Shumway,et al.  Expected Option Returns , 2000 .

[14]  Les Clewlow,et al.  The Dynamics of the S&P 500 Implied Volatility Surface , 2000 .

[15]  A. Lo,et al.  Nonparametric Risk Management and Implied Risk Aversion , 2000 .

[16]  J. Rosenberg.  Implied Volatility Functions , 2000 .

[17]  D. Madan,et al.  Spanning and Derivative-Security Valuation , 2000 .

[18]  Francis X. Diebold,et al.  Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think , 1999 .

[19]  Gurdip Bakshi,et al.  Do Call Prices and the Underlying Stock Always Move in the Same Direction , 1999 .

[20]  Kenneth A. Froot.  The Market for Catastrophe Risk: a Clinical Examination , 1999 .

[21]  Kenneth A. Froot,et al.  The Evolving Market for Catastrophic Event Risk , 1999 .

[22]  R. Engle,et al.  Empirical Pricing Kernels , 1999 .

[23]  Peter H. Ritchken,et al.  Pricing Options under Generalized GARCH and Stochastic Volatility Processes , 1999 .

[24]  Jeff Fleming.  The quality of market volatility forecasts implied by S&P 100 index option prices , 1998 .

[25]  J. Jackwerth.  Recovering Risk Aversion from Option Prices and Realized Returns , 1998 .

[26]  A. Lo,et al.  Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices , 1998 .

[27]  Louis O. Scott.  Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods , 1997 .

[28]  K. Singleton,et al.  Specification Analysis of Affine Term Structure Models , 1997 .

[29]  Gurdip Bakshi,et al.  Empirical Performance of Alternative Option Pricing Models , 1997 .

[30]  M. Broadie,et al.  American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods , 1996 .

[31]  J. Cochrane,et al.  Beyond Arbitrage: 'Good Deal' Asset Price Bounds in Incomplete Markets , 1996 .

[32]  Jeff Fleming,et al.  Implied volatility functions: empirical tests , 1996, IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr).

[33]  J. Campa,et al.  Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options , 1995 .

[34]  David S. Bates.  Testing Option Pricing Models , 1995 .

[35]  John Y. Campbell,et al.  Some Lessons from the Yield Curve , 1995 .

[36]  Peter E. Rossi,et al.  Bayesian Analysis of Stochastic Volatility Models , 1994 .

[37]  Peter E. Rossi,et al.  Bayesian Analysis of Stochastic Volatility Models: Comments: Reply , 1994 .

[38]  N. Pearson,et al.  Exploiting the conditional density in estimating the term structure , 1994 .

[39]  Kaushik I. Amin.  Jump Diffusion Option Valuation in Discrete Time , 1993 .

[40]  David S. Bates.  Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options , 1993 .

[41]  Vasant Naik,et al.  Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns , 1993 .

[42]  F. Diz,et al.  Do the options markets really overreact , 1993 .

[43]  S. Heston.  A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[44]  E. Stein,et al.  Stock Price Distributions with Stochastic Volatility: An Analytic Approach , 1991 .

[45]  D. Heath,et al.  Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation , 1990, Journal of Financial and Quantitative Analysis.

[46]  J. Stein.  Overreactions in the Options Market , 1989 .

[47]  Dave Feldman.  A theory of asset prices and the term structure of interest rates in a partially observable economy , 1989 .

[48]  Louis O. Scott.  Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.

[49]  James B. Wiggins.  Option values under stochastic volatility: Theory and empirical estimates , 1987 .

[50]  T. Bollerslev,et al.  A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .

[51]  Alan G. White,et al.  The Pricing of Options on Assets with Stochastic Volatilities , 1987 .

[52]  D. Shanno,et al.  Option Pricing when the Variance Is Changing , 1987, Journal of Financial and Quantitative Analysis.

[53]  Michael U. Dothan,et al.  Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy , 1986 .

[54]  M. Rubinstein..  Displaced Diffusion Option Pricing , 1983 .

[55]  R. Geske.  THE VALUATION OF COMPOUND OPTIONS , 1979 .

[56]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[57]  F. Black,et al.  The Valuation of Option Contracts and a Test of Market Efficiency , 1972 .

[58]  A. Gallant,et al.  Simulated Score Methods and Indirect Inference for Continuous-time Models , 2002 .

[59]  The importance of the loss function in option pricing , 2002 .

[60]  Nicholas G. Polson,et al.  MCMC Methods for Financial Econometrics , 2002 .

[61]  Jun Pan.  The jump-risk premia implicit in options: evidence from an integrated time-series study $ , 2002 .

[62]  Jun Pan.  The Jump-Risk Premia Implicit in Options : Evidence from an Integrated Time-Series Study , 2001 .

[63]  David S. Bates.  Post-'87 crash fears in the S&P 500 futures option market , 2000 .

[64]  Jun Pan,et al.  Transform Analysis and Asset Pricing for AÆne Jump-Di usions , 1999 .

[65]  Evan W. Anderson,et al.  Risk and Robustness in General Equilibrium , 1998 .

[66]  Jaeho Cho.  A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences , 1998 .

[67]  A. Harvey,et al.  5 Stochastic volatility , 1996 .

[68]  Russell S. Winer,et al.  Using Neoclassical Consumer-Choice Theory to Produce a Market Map From Purchase Data , 1994 .

[69]  S. Ross,et al.  The valuation of options for alternative stochastic processes , 1976 .

[70]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .