Empirical option pricing: a retrospection

By David S. Bates. 2003

355 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/499309e7eaeeea2572acc02462467692bb1a8967

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Citations in the corpus

A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, background): “tion Pricing, Principal Components Analysis, Value-at-Risk.”
Variance Risk Premiums (2009, positive): “Bates (1996, 2000, 2003); Pan (2002); Jones (2003); and Eraker (2004) analyze variance risk premiums in conjunction with return risk premiums by estimating various parametric option pricing models with either Bayesian methods or efficient methods of moments.”
Variation, jumps, market frictions and high frequency data in financial econometrics (2005, neutral): “To put this observation in context, Garcia, Ghysels, and Renault (2005) and Bates (2003) reviews the econometric literature on pricing derivatives, while Bollerslev, Gibson, and Zhou (2005) use realised volatility as inputs into estimating parameters of SV models used to price options.”
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007, background): “Then by substituting X = σθ √ τ in ( 6 ) we can rewrite I(σθ √ τ,τ;σ) as:”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, background): “We first document the prevalent existence of volatility smirks in individual stock options, which is consistent with previous literature (see Bollen and Whaley (2004), Bates (2003), and Garleanu, Pedersen and Poteshman (2007)).”
Investor Sentiment and Option Prices (2008, positive): “The two sentiment proxies above concern large (institutional) investors, who dominate the use of index options (Bates, 2003; Lakonishok et al., 2007).”
Stochastic Local Volatility (2008, background): “Bates (2003) argues that daily re-calibration is a way of hiding the imperfections of a model so that it always fits the data.”
Model-free hedge ratios and scale-invariant models (2007, background): “A multitude of models for option pricing have been developed in recent years and the academic literature is enormous (see Jackwerth, 1999; Skiadopoulos, 2001; Bates, 2003; Psychoyios et al., 2003; Cont and Tankov, 2004, for comprehensive reviews).”
Risk and Volatility: Econometric Models and Financial Practice (2004, background): “The required risk neutralization has been studied by several authors such as Rosenberg and Engle (2002), Bates (2003) and Jackwerth (2000).”
Evaluating Volatility and Correlation Forecasts (2009, background): “These applications are generally univariate in nature; derivatives with multiple underlying assets (thus requiring a covariance forecast) are much less studied in the literature (see [9, 28] for surveys).”