This document has not been cited yet.

1. Ait-Sahalia, Yacine, Wang, Yubo and Yared, Francis. 2001. Do option markets correctly price the probabilities of movement of the underlying asset, Journal of Econometrics, 102:67-110.

2. Akian, Marianne, Menaldi, Jose Luis and Sulem, Agnes. 1996. On an investment-consumption model with transaction costs, SIAM Journal of Control and Optimization, 34(1):329-364.
   Paper not yet in RePEc: Add citation now
   

3. Andersen, Torben G., Benzoni, Luca and Lund, Jesper. 2001. An empirical investigation of continuous-time equity return models, The Journal of Finance, 57(3):1239-1284.

4. Barles, Gay and Soner, Halil Mete. 1998. Option pricing with transaction costs and a nonlinear Blacks-Scholes equation, Finance and Stochastics, 2:369-397.

5. Benth, Fred Espen, Karlsen, Kenneth Hvistendahl and Reikvam, Kristin. 2002. Portfolio optimization in a Lévy market with intertemporal substituition and transaction costs, Stochastics and Stochastics Reports, 74(3-4): 517-569.
   Paper not yet in RePEc: Add citation now
   

6. Carr, Peter and Wu, Liuren. 2003. What type of process underlies options? A simple robust test, The Journal of Finance, 58(6):2581-2610.

7. Chellathurai, Thamayabthi and Draviam, Thangaraj. 2005. Dynamic portfolio selection with non-linear transaction costs, Procedings of the Royal Society A, 461: 3183-3212.
   Paper not yet in RePEc: Add citation now
   

8. Chellathurai, Thamayanthi and Draviam, Thangaraj. 2007. Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory, Journal of Economics Dynamics and Control, 3: 2168-2195.

9. Crandall, Michael G., Ishii, Hitoshi and Lions, Pierre-Louis. 1992. User's guide to viscosity solutions of second order partial differential equations, Bulletin of the American Mathematical Society, 27(1):1-67.
   Paper not yet in RePEc: Add citation now
   

10. Cuoco, Domenico and Liu, Hong. 2000. Optimal consumption of a divisible durable good, Journal of Economics Dynamics and Control, 24(4):561-613.

11. Dai, Min and Yi Fahuai. 2009. Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem, Journal of Differential Equations, 246(4):1445-1469.
    Paper not yet in RePEc: Add citation now
    

12. Damgaard, Anders, Fuglsbjerg, Brian and Munk, Claus. 2003. Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good, Journal of Economics Dynamics and Control, 28: 209-253.

13. Davis, M. H. A. and Norman A. R.. 1990. Portfolio selection with transaction costs, Mathematics of Operations Research, 15(4):676-712.

14. Davis, Mark H. A., Panas, Vassilios G. and Zariphopoulou, Thaleia. 1993. European option pricing with transaction costs, SIAM Journal of Control and Optimization, 31(2): 470-493.
    Paper not yet in RePEc: Add citation now
    
15. Dunham, Lee M. and Friesen, Geoffrey C. 2007. An empirical examination of jump risk in U.S. equty and bond markets, North American Actuarial Journal, No11, 76-91.
    Paper not yet in RePEc: Add citation now
    

16. Eraker, Bjorn, Johannes, Michael and Polson, Nicholas. 2003. The impact of jumps in volatility and returns, The Journal of Finance, 58(3):1269-1300.

17. Framstad, Niels, Oksendal, Bernt and Sulem Agnes. 1999. Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, INRIA, No 3749.
    Paper not yet in RePEc: Add citation now
    

18. Grossman, Sanford J. and Laroque, Guy. 1990. Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods, Econometrica, 58(1): 25-51.

19. Jackwerth, Jens Carsten and Rubinstein, Nark. 1996. Recovering probability distributions from option prices, The Journal of Finance, 51(5):1611-1631.

20. Janecek, Karel and Shreve, Steven E. 2004. Asymptotic analysis for optimal investment and consumption with transaction costs, Finance and Stochastics, 8(2): 181-206.

21. Jarrow, Robert A. and Rosenfeld, Eric R. 1984. Jump risks and the intertemporal capital asset pricing model, The Journal of Business, 57(3): 337-351.

22. Kushner, Harold J. and Dupuis, Paul G. 1992. Numerical methods for stochastic control problems in continuous time, Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    

23. Lee, Suzanne S. and Mykland, Per A. 2008. Jumps in financial markets: A new nonparametric test and jump dynamics, Review of Financial Studies, 21(6): 2535-2563.

24. Liu, Hong and Loewenstein, Mark. 2002. Optimal portfolio selection with transaction costs and finite horizons, The Review of Financial Studies, 15(3): 805-835.

25. Liu, Hong. 2004. Optimal consumption and investment with transaction costs and multiple risky assets, The Journal of Finance, 49(1): 289-338.

26. Merton, R. C. 1969. Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics, 51: 247-57.

27. Monoyios, Michael. 2004. Option pricing with transaction costs using a Markov chain approximation, Journal of Economics Dynamics and Control, 28: 889-913.

28. Oksendal, Bernt and Sulem, Agnes. 2004. Applied stochastic control of jump diffusions, Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    

29. Pan, Jun. 2002. The jump-risk premia implicit in options: Evidence from integrated time-series study, Journal of Financial Economics, 63(1): 3-50.

30. Shreve, S. E., and Soner, H. M. 1994. Optimal investment and consumption with transaction costs, The Annals of Applied Probability, 4(3): 609-692.
    Paper not yet in RePEc: Add citation now
    
31. Subramanian, Ajay. 2001. European option pricing with general transaction costs and short-selling constraints, Stochastic Models, 17(2): 215-245.
    Paper not yet in RePEc: Add citation now
    
32. Zakamouline, Valeri, I. 2002. Optimal portfolio selection with transaction costs for a CARA investor with finite horizon.
    Paper not yet in RePEc: Add citation now
    

33. Zakamouline, Valeri, I. 2005. A unified approach to portfolio optimization with linear transaction costs, Mathematical methods of Operations Research, 62(2): 319-343.

34. Zakamouline, Valeri, I. 2005. American option pricing with transaction costs, Journal of Computational Finance, 8(3): 81-115.
    Paper not yet in RePEc: Add citation now
    

1. Estimating the Parameters of Stochastic Volatility Models using Option Price Data. (2012). Hurn, Stan ; Lindsay, Ken ; McClelland, Andrew .
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2012_11.

   Full description at Econpapers || Download paper

2. Consuming durable goods when stock markets jump: a strategic asset allocation approach. (2012). Amaro de Matos, João ; Silva, Nuno.
   In: GEMF Working Papers.
   RePEc:gmf:wpaper:2012-01.

   Full description at Econpapers || Download paper

3. The 2007 emerging corn price surge revisited – Was it expected or a large surprise?. (2012). von Ledebur, Oliver ; Schmitz, Jochen.
   In: 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil.
   RePEc:ags:iaae12:123971.

   Full description at Econpapers || Download paper

4. Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; Graveline, Jeremy J..
   In: Journal of Econometrics.
   RePEc:eee:econom:v:164:y:2011:i:1:p:35-44.

   Full description at Econpapers || Download paper

5. Generalized parameter functions for option pricing. (2010). Martzoukos, Spiros H. ; Andreou, Panayiotis C. ; Charalambous, Chris.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:34:y:2010:i:3:p:633-646.

   Full description at Econpapers || Download paper

6. Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market. (2010). Remolona, Eli ; Loretan, Mico ; Kim, Don H..
   In: Journal of Asian Economics.
   RePEc:eee:asieco:v:21:y:2010:i:3:p:314-326.

   Full description at Econpapers || Download paper

7. Option-implied preferences adjustments, density forecasts, and the equity risk premium. (2009). Blanco, Roberto ; Rubio, Gonzalo ; Alonso, Francisco.
   In: Spanish Economic Review.
   RePEc:spr:specre:v:11:y:2009:i:2:p:141-164.

   Full description at Econpapers || Download paper

8. Theories of choice under risk: Insights from financial markets. (2009). Kliger, Doron ; Levy, Ori .
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:71:y:2009:i:2:p:330-346.

   Full description at Econpapers || Download paper

9. Dynamics of state price densities. (2009). Hlavka, Zdenek ; Hardle, Wolfgang.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:150:y:2009:i:1:p:1-15.

   Full description at Econpapers || Download paper

10. What do asset prices have to say about risk appetite and uncertainty?. (2009). Hoerova, Marie ; Bekaert, Geert ; Scheicher, Martin.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091037.

    Full description at Econpapers || Download paper

11. Tails, Fears and Risk Premia. (2009). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-26.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

13. Consumption and Portfolio Choice with Option-Implied State Prices. (2008). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13854.

    Full description at Econpapers || Download paper

14. The cross-section of average delta-hedge option returns under stochastic volatility. (2008). Ibáñez, Alfredo ; Ibaez, Alfredo.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:11:y:2008:i:3:p:205-244.

    Full description at Econpapers || Download paper

15. Testing the martingale restriction for option implied densities. (2008). Busch, Thomas.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:11:y:2008:i:1:p:61-81.

    Full description at Econpapers || Download paper

16. Testing Monotonicity of Pricing Kernels. (2008). Härdle, Wolfgang ; Golubev, Yuri ; Hardle, Wolfgang ; Timonfeev, Roman.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-001.

    Full description at Econpapers || Download paper

17. Individual stock-option prices and credit spreads. (2008). Driessen, Joost ; Maenhout, Pascal ; Cremers, Martijn ; Weinbaum, David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2706-2715.

    Full description at Econpapers || Download paper

18. Adaptive Expectations and Stock Market Crashes. (2007). Frankel, David.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:12817.

    Full description at Econpapers || Download paper

19. Understanding Index Option Returns. (2007). Chernov, Mikhail ; Johannes, Michael ; Broadie, Mark.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6239.

    Full description at Econpapers || Download paper

20. Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing. (2006). Hlavka, Zdenek ; Pesta, Michal.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-069.

    Full description at Econpapers || Download paper

21. Parametric pricing of higher order moments in S&P500 options. (2005). Martin, Vance ; Lim, Guay.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:3:p:377-404.

    Full description at Econpapers || Download paper

22. Dynamics of State Price Densities. (2005). Härdle, Wolfgang ; Hlavka, Zdenek ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-021.

    Full description at Econpapers || Download paper

23. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-020.

    Full description at Econpapers || Download paper

24. Implied Trinomial Trees. (2005). Cizek, Pavel ; Komorad, Karel.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-007.

    Full description at Econpapers || Download paper

25. Explaining the level of credit spreads: option-implied jump risk premia in a firm value model. (2005). Driessen, Joost ; Maenhout, Pascal ; Cremers, Martijn ; Weinbaum, David.
    In: BIS Working Papers.
    RePEc:bis:biswps:191.

    Full description at Econpapers || Download paper

26. Skewness and Kurtosis Trades. (2004). Härdle, Wolfgang ; Blaskowitz, Oliver ; Hardle, Wolfgang Karl ; Schmidt, Peter.
    In: Papers.
    RePEc:zbw:caseps:200409.

    Full description at Econpapers || Download paper

27. Prediction Markets. (2004). Zitzewitz, Eric ; Wolfers, Justin.
    In: Discussion Papers.
    RePEc:sip:dpaper:03-025.

    Full description at Econpapers || Download paper

28. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10912.

    Full description at Econpapers || Download paper

29. Prediction Markets. (2004). Zitzewitz, Eric ; Wolfers, Justin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10504.

    Full description at Econpapers || Download paper

30. Testing for the uncovered interest parity using distributions implied by FX options. (2004). Vavra, David ; Cincibuch, Martin.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:16.

    Full description at Econpapers || Download paper

31. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

32. Prediction Markets. (2004). Zitzewitz, Eric ; Wolfers, Justin.
    In: Research Papers.
    RePEc:ecl:stabus:1854.

    Full description at Econpapers || Download paper

33. Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options. (2004). Han, Bin.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-2.

    Full description at Econpapers || Download paper

34. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt5dv8v999.

    Full description at Econpapers || Download paper

35. The Forecasting Performance of German Stock Option Densities. (2003). Craig, Ben ; Scheicher, Martin ; Keller, Joachim ; Glatzer, Ernst.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4214.

    Full description at Econpapers || Download paper

36. What Do Financial Markets Think of War in Iraq?. (2003). Zitzewitz, Eric ; Wolfers, Justin ; Leigh, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9587.

    Full description at Econpapers || Download paper

37. The forecasting performance of German stock option densities. (2003). Craig, Ben ; Scheicher, Martin ; Keller, Joachim ; Glatzer, Ernst.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0312.

    Full description at Econpapers || Download paper

38. Nonparametric option pricing under shape restrictions. (2003). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:9-47.

    Full description at Econpapers || Download paper

39. What do Financial Markets Think of War in Iraq?. (2003). Zitzewitz, Eric ; Wolfers, Justin ; Leigh, Andrew.
    In: Research Papers.
    RePEc:ecl:stabus:1785.

    Full description at Econpapers || Download paper

40. Modelling the implied probability of stock market movements. (2003). Scheicher, Martin ; Glatzer, Ernst.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003212.

    Full description at Econpapers || Download paper

41. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:6:y:2003:n:2:p:385-403.

    Full description at Econpapers || Download paper

42. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8944.

    Full description at Econpapers || Download paper

43. The jump-risk premia implicit in options: evidence from an integrated time-series study. (2002). pan, jun ; Jun, Pan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:1:p:3-50.

    Full description at Econpapers || Download paper

44. Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt7jp8f42t.

    Full description at Econpapers || Download paper

45. Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion. (2001). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8504.

    Full description at Econpapers || Download paper

46. Recovering risk aversion from options. (2001). Bliss, Robert R. ; Panigirtzoglou, Nikolaos.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-01-15.

    Full description at Econpapers || Download paper

47. Recovering the probability density function of asset prices using garch as diffusion approximations. (2001). Mele, Antonio ; Fornari, Fabio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:8:y:2001:i:1:p:83-110.

    Full description at Econpapers || Download paper

48. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-12.

    Full description at Econpapers || Download paper

49. Beyond implied volatility: extracting information from option prices. (1998). Cont, Rama.
    In: Finance.
    RePEc:wpa:wuwpfi:9804002.

    Full description at Econpapers || Download paper

50. What Data Should Be Used to Price Options?. (1998). Ghysels, Eric ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-22.

    Full description at Econpapers || Download paper

Report date: 2025-09-23 16:46:32 || Missing content? Let us know