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Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Backus, David ; Foresi, Silverio .
In: Finance.
RePEc:wpa:wuwpfi:0207008.

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Cited: 20

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Cites: 33

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Cocites: 29

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Citations

Citations received by this document

  1. A forward started jump-diffusion model and pricing of cliquet style exotics. (2010). Drimus, Gabriel .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:13:y:2010:i:2:p:125-140.

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  2. Distribuzioni di probabilità implicite nei prezzi delle opzioni.. (2008). Erzegovesi, Luca ; Beber, Alessandro.
    In: Alea Tech Reports.
    RePEc:trt:aleatr:008.

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  3. Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern. (2008). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:11530.

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  4. Forward-Looking Betas. (2007). Christoffersen, Peter ; Jacobs, Kris ; Vainberg, Gregory .
    In: CREATES Research Papers.
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  5. Implied Calibration of Stochastic Volatility Jump Diffusion Models. (2005). Galluccio, Stefano ; Le Cam, Yann.
    In: Finance.
    RePEc:wpa:wuwpfi:0510028.

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  6. An empirical comparison of the performance of alternative option pricing models. (2005). Ferreira, Eva ; Leon, Angel ; Gago, Monica ; Rubio, Gonzalo.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:29:y:2005:i:3:p:483-523.

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  7. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. (2004). Wu, Liuren.
    In: Finance.
    RePEc:wpa:wuwpfi:0401001.

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  8. The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market. (2004). Beber, Alessandro ; Brandt, Michael W..
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp105.

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  9. Tracking Brazilian Exchange Rate Volatility. (2004). Tabak, Benjamin ; Chang, Eui Jung ; de Andrade, Sandro Canesso .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:487.

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  10. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Christoffersen, Peter ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

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  11. The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market. (2003). Beber, Alessandro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9914.

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  12. The Finite Moment Log Stable Process and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207012.

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  13. Autorregresive conditional volatility, skewness and kurtosis. (2002). Leon, Angel ; Serna, Gregorio ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200206.

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  14. An empirical comparison of the performance of alternative option pricing models. (2002). Rubio, Gonzalo ; Gago, Monica .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200204.

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  15. Smiling under stochastic volatility. (2002). Leon, Angel ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200202.

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  16. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

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  17. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE. (2000). Fiorentini, Gabriele ; Rubio, Gonzalo ; Leon, ngel.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2000-25.

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  18. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-08.

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  19. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6736.

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  20. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Angel León, ; Rubio, Gonzalo.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

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References

References cited by this document

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Cocites

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  1. Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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  2. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: Review of Asset Pricing Studies.
    RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42..

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  3. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rapstu:v:7:y:2017:i:1:p:2-42..

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  4. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. (2017). Souissi, Nessim .
    In: Journal of Applied Mathematics.
    RePEc:hin:jnljam:3156250.

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  5. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette.
    In: Energy Policy.
    RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283.

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  6. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-581.

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  7. HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING. (2012). Tunaru, Radu S ; TOSCANO, PIETRO ; Leccadito, Arturo.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  8. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
    In: Computing in Economics and Finance 2005.
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  9. Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options. (2005). Hadri, Kaddour ; Bu, Ruijun.
    In: Research Papers.
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  10. Estimation of risk-neutral densities using positive convolution approximation. (2003). Bondarenko, Oleg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:85-112.

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  11. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11:p:2095-2114.

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  12. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

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  13. Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Backus, David ; Foresi, Silverio .
    In: Finance.
    RePEc:wpa:wuwpfi:0207008.

    Full description at Econpapers || Download paper

  14. Testing the stability of implied probability density functions. (2002). Panigirtzoglou, Nikolaos ; Bliss, Robert R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:381-422.

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  15. Reading PIBOR futures options smiles: The 1997 snap election. (2001). Rockinger, Michael ; Jondeau, Eric ; Coutant, Sophie .
    In: Journal of Banking & Finance.
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  16. Gram-Charlier densities. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of Economic Dynamics and Control.
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  17. Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives. (2000). Chiarella, Carl.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:113-125.

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  18. A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS. (2000). Benhamou, Eric ; Duguet, Alexandre.
    In: Computing in Economics and Finance 2000.
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  19. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
    In: Cahiers de la Maison des Sciences Economiques.
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  20. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
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  21. Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40. (2000). Jurczenko, Emmanuel ; Capelle-Blancard, Gunther.
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  22. Reading the smile: the message conveyed by methods which infer risk neutral densities. (2000). Rockinger, Michael ; Jondeau, Eric.
    In: Journal of International Money and Finance.
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  23. Econometric specification of the risk neutral valuation model. (2000). Monfort, Alain ; gourieroux, christian ; Clement, E..
    In: Journal of Econometrics.
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  24. Approximating payoffs and pricing formulas. (2000). darolles, serge ; Laurent, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
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  25. Testing the stability of implied probability density functions. (2000). Panigirtzoglou, Nikolaos ; Bliss, Robert R.
    In: Bank of England working papers.
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  26. The Information Content of Interest Rate Futures Options. (1999). Mc Manus, Des, .
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  27. Econometric specification of the risk neutral valuation model. (1997). Monfort, Alain ; gourieroux, christian ; Clement, E.
    In: CEPREMAP Working Papers (Couverture Orange).
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  28. Options and volatility. (1996). Abken, Peter A. ; Nandi, Saikat.
    In: Economic Review.
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  29. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
    In: CIRANO Working Papers.
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