SEARCH

SEARCH BY CITATION

REFERENCES

  • Aït-Sahalia, Yacine, 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies 9, 385426.
  • Aït-Sahalia, Yacine, 2002, Maximum likelihood estimation of discretely sampled diffusions: A closed-form approach, Econometrica 70, 223262.
  • Aït-Sahalia, Yacine, and Andrew Lo, 1998, Nonparametric estimation of state-price densities implicit in financial asset prices, Journal of Finance 53, 499547.
  • Aït-Sahalia, Yacine, Yubo Wang, and Francis Yared, 2001, Do options markets correctly assess the probabilities of movement in the underlying asset? Journal of Econometrics 102, 67110.
  • Amin, Kaushik I., and Victor Ng, 1993, Option valuation with systematic stochastic volatility, Journal of Finance 48, 881910.
  • Andersen, Torben G., Luca Benzoni, and Jesper Lund, 2002, An empirical investigation of continuous-time models for equity returns, Journal of Finance 57, 12391284.
  • Andersen, Torben G., and Jesper Lund, 1997, Estimating continuous-time stochastic volatility models of the short-term interest rate, Journal of Econometrics 7, 343377.
  • Bakshi, Gurdip, Charles Cao, and Zhiwu Chen, 1997, Empirical performance of alternative option pricing models, Journal of Finance 52, 20032049.
  • Bakshi, Gurdip, and Delip Madan, 1999, Crash discovery in stock and options markets, Working paper, University of Maryland .
  • Bandi, Federico M., and Peter C. B. Phillips, 2000, Nonstationary continuous time processes, Working paper, University of Chicago .
  • Bandi, Federico M., and Peter C. B. Phillips, 2003, Fully nonparametric estimation of scalar diffusion models, Econometrica 71, 241283.
  • Bates, David, 1996, Jump and stochastic volatility: Exchange rate processes implicit in Deutsche mark options, Review of Financial Studies 9, 69107.
  • Bates, David, 2000, Post-'87 Crash fears in S&P 500 Futures Options, Journal of Econometrics 94, 181238.
  • Benzoni, Luca, 2000, Pricing options under stochastic volatility: an empirical investigation, Working paper, University of Minnesota .
  • Black, Fisher, 1976, Studies in stock price volatility changes, in Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, pp. 177181.
  • Carlin, Bradley P., Nicholas G. Polson, and David S. Stoffer, 1992, A Monte Carlo approach to nonnormal and nonlinear state-space modeling, Journal of the American Statistical Association 87, 493500.
  • Chernov, Mikhail, A. Ron Gallant, Eric Ghysels, and George Tauchen, 1999, A new class of stochastic volatility models with jumps: Theory and estimation, Working Paper, Duke University .
  • Chernov, Mikhail, and Eric Ghysels, 2000, Towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation, Journal of Financial Economics 56, 407458.
  • Chesney, Marc, and Louis Scott, 1989, Pricing European currency options: A comparison of the modified Black–Scholes model and a random variance model, Journal of Financial and Quantitative Analysis 24, 267284.
  • Conley, Tim, Lars P. Hansen, Erzo G. J. Luttmer, and Jose A. Scheinkman, 1997, Estimating subordinated diffusions from discrete time data, Review of Financial Studies 10, 525577.
  • Dai, Qiang, and Kenneth S. Singleton, 2000, Specification analysis of affine term structure models, Journal of Finance LV, 19431978.
  • Das, Sanjiv R., and Rangarajan K. Sundaram, 1999, Of smiles and smirks: A term-structure perspective, Journal of Financial and Quantitative Analysis 34, 211239.
  • David, Alexander, and Pietro Veronesi, 1999, Option prices with uncertain fundamentals: Theory and evidence on the dynamics of implied volatility and over/-underreaction in the options market, Working paper, University of Chicago .
  • Duffie, Darrel, and Peter Glynn, 1996, Estimation of continuous-time Markov processes sampled at random time intervals, Manuscript, Stanford University .
  • Duffie, Darrel, Jun Pan, and Kenneth J. Singleton, 2000, Transform analysis and asset pricing for affine jump-diffusions, Econometrica 68, 13431376.
  • Duffie, Darrel, and Kenneth Singleton, 1993, Simulated moments estimation of Markov models of asset prices, Econometrica 61, 929952.
  • Dumas, Bernard, Jeff Fleming, and Robert W. Whaley, 1998, Implied volatility functions: Empirical tests, Journal of Finance 53, 20592106.
  • Eraker, Bjørn, 2001, MCMC analysis of diffusion models with application to finance, Journal of Business and Economic Statistics 19, 177191.
  • Eraker, Bjørn, Michael S. Johannes, and Nicholas G. Polson, 2003, The impact of jumps in returns and volatility, Journal of Finance 53, 12691300.
  • Gallant, A. Ronald, and George Tauchen, 1996, Which moments to match? Econometric Theory 12, 657681.
  • Gourieroux, Christian, Alan Monfort, and Eric Renault, 1993, Indirect inference, Journal of Applied Econometrics 8, S85S118.
  • Hansen, Lars P., and Jose Scheinkman, 1995, Back to the future: Generating moment implications for continuous-time Markov processes, Econometrica 63, 767804.
  • Heston, Steven, 1993, Closed-form solution of options with stochastic volatility with application to bond and currency options, Review of Financial Studies 6, 327343.
  • Hull, John, and Alan White, 1987, The pricing of options with stochastic volatilities, Journal of Finance 42, 281300.
  • Jackwerth, Jens C., and Mark Rubenstein, 1996, Recovering probability distributions from option Prices, Journal of Finance 51, 16111631.
  • Jacquier, Eric, and Robert Jarrow, 2000, Bayesian analysis of contingent claim model error, Journal of Econometrics 94, 145180.
  • Jacquier, Eric, Nicholas G. Polson, and Peter Rossi, 1994, Bayesian analysis of stochastic volatility models, Journal of Business and Economic Statistics 12, 371389.
  • Jacquier, Eric, Nicholas G. Polson, and Peter Rossi, 2004, Bayesian analysis of stochastic volatility models with leverage effect and fat tails, Journal of Econometrics (forthcoming).
  • Jiang, George J., and John L. Knight, 1997, A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model, Econometric Theory 13, 615645.
  • Johannes, Michael, 2004, The statistical and economic role of jumps in interest rates, Journal of Finance 59, 227260.
  • Johannes, Michael S., Rohit Kumar, and Nicholas G. Polson, 1999, State dependent jump models: How do U.S. equity indices jump? Working paper, University of Chicago .
  • Melino, Angelo, and Stuart M. Thornbull, 1990, Pricing foreign currency options with systematic stochastic volatility, Journal of Econometrics 45, 239265.
  • Merton, Robert, 1976, Option pricing when the underlying stock returns are discontinuous, Journal of Financial Economics 3, 125144.
  • Pan, Jun, 2002, The jump-risk premia implicit in options: Evidence from an integrated time-series study, Journal of Financial Economics 63, 350.
  • Rubenstein, Mark, 1985, Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August, 1978, Journal of Finance 40, 455480.
  • Rubenstein, Mark, 1994, Implied binomial trees, Journal of Finance 49, 771818.
  • Scott, Louis O., 1987, Option pricing when the variance changes randomly: Theory, estimation, and an application, Journal of Financial and Quantitative Analysis 22, 419483.
  • Singleton, Kenneth J., 2001, Estimation of affine asset pricing models using the empirical characteristic function, Journal of Econometrics 102, 111141.
  • Stanton, Richard, 1997, A nonparametric model of term structure dynamics and the market price of interest rate risk, Journal of Finance 52, 19732002.
  • Stein, E. M., and J. C. Stein, 1991, Stock price distributions with stochastic volatility: an analytic approach, Review of Financial Studies 4, 727752.
  • Viceira, Luis M., and George Chacko, 1999, Spectral GMM estimation of continuous-time processes, Journal of Econometrics 116, 259292.
  • Wiggins, James B., 1987, Option values under stochastic volatility: Theory and empirical estimates, Journal of Financial Economics 19, 351372.