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Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
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Practical Issues in the Analysis of Univariate GARCH Models
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Microstructural biases in empirical tests of option pricing models
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The pricing of commodity contracts
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Approximate option valuation for arbitrary stochastic processes
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Expected stock returns and volatility
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ARCH modeling in finance
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The Econometrics of Option Pricing
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Option markets and implied volatility: Past versus present☆
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Empirical option pricing: a retrospection
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Option price forecasting using neural networks
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Cross-sectional tests of deterministic volatility functions
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Chapter 49 Arch models
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The Pricing of Options and Corporate Liabilities
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A Capital Asset Pricing Model with Time-Varying Covariances
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Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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Pricing Options under Generalized GARCH and Stochastic Volatility Processes
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A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
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Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
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THE GARCH OPTION PRICING MODEL
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SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
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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
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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Empirical Tests of the Pricing of Nikkei Put Warrants
inferredcites →https://doi.org/10.1111/j.1540-6288.2001.tb00005.xopenalex-extracted
Index Options‐Futures Arbitrage: A Comparative Study with Bid/Ask and Transaction Data
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An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options
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ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
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The analysis of the perpetual option markets : theory and evidence
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A review of volatility and option pricing
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The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
inferredcites →https://doi.org/10.2139/ssrn.1832226openalex-extracted
Midquotes or Transactional Data? The Comparison of Black Model on HF Data
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Option Pricing Models with HF Data - A Comparative Study - The Properties of the Black Model with Different Volatility Measures
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High-Frequency and Model-Free Volatility Estimators
inferredcites →https://doi.org/10.2307/2328253openalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.3386/w2955openalex-extracted
Alternative Models For Conditional Stock Volatility
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No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
inferredcites →https://doi.org/10.1016/0304-4076(90)90101-xopenalex-snapshot
Alternative models for conditional stock volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2003.02.001openalex-snapshot
The importance of the loss function in option valuation
inferredcites →https://doi.org/10.1016/s0169-7161(96)14022-0openalex-snapshot
20 Testing option pricing models
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News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
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