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Deterministic versus stochastic volatility: implications for option pricing models

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.3990090604openalex-snapshot

Nonlinearities and chaotic effects in options prices

inferredcites →https://doi.org/10.1002/fut.3990110606openalex-snapshot

“Chaos” in futures markets? A nonlinear dynamical analysis

inferredcites →https://doi.org/10.1002/fut.3990120202openalex-snapshot

Dividends and S&P 100 index option valuation

inferredcites →https://doi.org/10.1002/fut.3990120305openalex-snapshot

Evidence of chaos in commodity futures prices

inferredcites →https://doi.org/10.1002/jae.3950030404openalex-snapshot

Volatility persistence and stock valuations: Some empirical evidence using garch

inferredcites →https://doi.org/10.1007/978-1-4613-3796-6openalex-snapshot

From Catastrophe to Chaos: A General Theory of Economic Discontinuities

inferredcites →https://doi.org/10.1016/0022-0531(86)90014-1openalex-snapshot

Distinguishing random and deterministic systems: Abridged version

inferredcites →https://doi.org/10.1016/0167-2789(83)90298-1openalex-snapshot

Measuring the strangeness of strange attractors

inferredcites →https://doi.org/10.1016/0304-3932(88)90170-5openalex-snapshot

Is the business cycle characterized by deterministic chaos?

inferredcites →https://doi.org/10.1016/0304-405x(77)90021-6openalex-snapshot

An analytic valuation formula for unprotected American call options on stocks with known dividends

inferredcites →https://doi.org/10.1016/0304-405x(79)90022-9openalex-snapshot

The valuation of compound options

inferredcites →https://doi.org/10.1016/0304-405x(81)90013-1openalex-snapshot

On the valuation of American call options on stocks with known dividends

inferredcites →https://doi.org/10.1016/0304-405x(87)90009-2openalex-snapshot

Option values under stochastic volatility: Theory and empirical estimates

inferredcites →https://doi.org/10.1016/0304-405x(87)90026-2openalex-snapshot

Expected stock returns and volatility

inferredcites →https://doi.org/10.1016/0304-405x(92)90011-lopenalex-snapshot

Market volatility prediction and the efficiency of the S & P 100 index option market

inferredcites →https://doi.org/10.1016/0304-4076(92)90073-zopenalex-snapshot

Stock market volatility and the information content of stock index options

inferredcites →https://doi.org/10.1080/07350015.1985.10509428openalex-snapshot

Evidence of Nonlinearity in Daily Stock Returns

inferredcites →https://doi.org/10.1086/260062openalex-snapshot

The Pricing of Options and Corporate Liabilities

inferredcites →https://doi.org/10.1086/296451openalex-snapshot

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

inferredcites →https://doi.org/10.1086/296465openalex-snapshot

Nonlinear Dynamics and Stock Returns

inferredcites →https://doi.org/10.1086/296466openalex-snapshot

Testing for Nonlinear Dependence in Daily Foreign Exchange Rates

inferredcites →https://doi.org/10.1093/rfs/3.1.77openalex-snapshot

Stock Volatility and the Crash of '87

inferredcites →https://doi.org/10.1111/j.1475-6803.1994.tb00185.xopenalex-snapshot

NONLINEAR DYNAMICS AND THE DISTRIBUTION OF DAILY STOCK INDEX RETURNS

inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03897.xopenalex-snapshot

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04967.xopenalex-snapshot

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 31, 1978

inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot

The Pricing of Options on Assets with Stochastic Volatilities

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04631.xopenalex-snapshot

S&P 100 Index Option Volatility

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04023.xopenalex-snapshot

Option Valuation with Systematic Stochastic Volatility

inferredcites →https://doi.org/10.1142/9789812701022_0008openalex-snapshot

Theory of rational option pricing

inferredcites →https://doi.org/10.1142/9789814759588_0002openalex-snapshot

Theory of Rational Option Pricing

inferredcites →https://doi.org/10.1257/jep.3.1.77openalex-snapshot

Chaos: Significance, Mechanism, and Economic Applications

inferredcites →https://doi.org/10.2307/135573openalex-snapshot

Differential Equations, Stability and Chaos in Dynamic Economics

inferredcites →https://doi.org/10.2307/2297500openalex-snapshot

Measuring the Strangeness of Gold and Silver Rates of Return

inferredcites →https://doi.org/10.2307/2328253openalex-snapshot

The Pricing of Options on Assets with Stochastic Volatilities

inferredcites →https://doi.org/10.2307/2328621openalex-snapshot

Overreactions in the Options Market

inferredcites →https://doi.org/10.2307/2330709openalex-snapshot

Option Pricing when the Variance is Changing

inferredcites →https://doi.org/10.2307/2330744openalex-snapshot

The Pricing of Stock Index Options in a General Equilibrium Model

inferredcites →https://doi.org/10.2307/2330793openalex-snapshot

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

inferredcites →https://doi.org/10.2307/2330824openalex-snapshot

Stock Returns and Volatility

inferredcites →https://doi.org/10.2307/2331189openalex-snapshot

Analysis of the Term Structure of Implied Volatilities

inferredcites →https://doi.org/10.2307/2331406openalex-snapshot

Transaction Data Tests of S&P 100 Call Option Pricing

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2009342openalex-extracted

Calibration of Stochastic Volatility Models: An Optimal Control Approach

inferred← citeshttps://doi.org/10.5281/zenodo.1132225openalex-extracted

Forecasting The Volatility Of Geophysical Time Series With Stochastic Volatility Models

inferred← citeshttps://doi.org/10.1002/9781118360125.biblioopenalex-snapshot

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Calibration of stochastic volatility models: A Tikhonov regularization approach

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Modelling non-linear comovements between time series

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Sailing in rough waters: Examining volatility of fMRI noise

inferred← citeshttps://doi.org/10.1016/j.najef.2019.02.003openalex-snapshot

Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study

inferred← citeshttps://doi.org/10.1016/j.physa.2017.08.153openalex-snapshot

Estimation of stochastic volatility by using Ornstein–Uhlenbeck type models

inferred← citeshttps://doi.org/10.1016/j.physa.2018.02.167openalex-snapshot

Volatility models applied to geophysics and high frequency financial market data

inferred← citeshttps://doi.org/10.1080/096031000438042openalex-snapshot

The behaviour of Irish ISEQ index: some new empirical tests

inferred← citeshttps://doi.org/10.1080/09603100600735344openalex-snapshot

Spanning tests for options using principal components methods

inferred← citeshttps://doi.org/10.1109/iipem62726.2024.10925737openalex-snapshot

AI-Enhanced Stochastic Volatility Modelling: A Comparative Analysis with Black-Scholes and Binomial Models

inferred← citeshttps://doi.org/10.1111/1467-6419.00170openalex-snapshot

Bootstrapping Financial Time Series

inferred← citeshttps://doi.org/10.1177/0972652714567997openalex-snapshot

Conjoint Analysis of Option and Volatility Models

inferred← citeshttps://doi.org/10.1177/2277978721995654openalex-snapshot

Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets

inferred← citeshttps://doi.org/10.5539/ijef.v5n2p141openalex-snapshot

Empirical Performance of Option Pricing Models: Evidence from India

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