Pricing and hedging long-term options

By Gurdip Bakshi, Charles Cao, Zhiwu Chen. 2000

250 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/4f4f85410f601c7e8465e4cc5bef96b642eb0ae3

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Citations in the corpus

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics (2006, unknown): “, 2003), short-term near-money Black and Scholes implied volatility (Bakshi et al., 2000; Pan, 2002), and market volatility extracted from S&P 100 index option prices, VIX (Jones, 2003).”
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, methodology): “Our paper can be placed in the derivative pricing literature on stochastic volatility models as it adds to or extends work by Stein and Stein (1991), Heston (1993), Schöbel and Zhu (1999) or, since our model can be placed in the affine class, in the more general context of Duffie et al.”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “This insight provides 1Among recent contributions, Bakshi et al. (1997, 2000), Bates (2000), and Huang and Wu (2004) focus on derivatives prices alone.”
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2008, background): “A number of recent empirical and theoretical studies proved the existence of jumps and their substantial impact on financial management, from portfolio and risk management to option and bond pricing and hedging (see Merton, 1976; Bakshi et al., 1997, 2000; Bates, 1996; Liu et al., 2003; Naik and L”
Model-free hedge ratios and scale-invariant models (2007, methodology): “Both CEV and Heston models provide an effective delta or 9 Bakshi et al. (2000) start from the general SVSI-J model (Bakshi et al., 1997) and, by fixing some of the model parameters, they investigate the performance of alternative models for pricing and hedging options of different maturities.”
GARCH vs. stochastic volatility: Option pricing and risk management (2002, unknown): “(4)Prominent articles are [14], [11], [2], [3] and [25].”
The dynamics of stochastic volatility: evidence from underlying and options markets (2003, methodology): “This paper will adopt a Bayesian perspective and will use the procedure developed in Jones (1998) to compute posterior distributions for the parameters in (4) and (6).”
Trading activity, realized volatility and jumps (2010, unknown): “…ability to identify realized jumps has important implications in financial management, from portfolio and risk management to option and bond pricing and hedging (Merton, 1976; Bates, 1996; Bakshi, Cao, and Chen, 2000; Liu, Longstaff, and Pan, 2003; Duffie and Singleton, 2000; and Piazzesi, 2003).”