Option Pricing: Valuation Models and Applications
By Mark Broadie, Jérôme Detemple. 2004
195 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/50a8b04c72519b0d5fdd3d0d51da678e90ef19f9
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Citations in the corpus
- Managing Capacity in the High-Tech Industry: A Review of Literature (2005, background): “The enormous attention in literature on options is summarized in the comprehensive survey by Broadie and Detemple (2004).”
- MODELING HIGH-FREQUENCY FINANCIAL DATA BY PURE JUMP PROCESSES (2012, background): “Pure-jump models have been extensively considered and used for general options pricing [Huang and Wu (2004), Broadie and Detemple (2004), Levendorskii (2004), Schoutens (2006), Ivanov (2007)], and for foreign exchange options pricing [Huang and Hung (2005), Daal and Madan (2005), Carr and Wu…”
- Activity Signature Functions for High-Frequency Data Analysis (2010, unknown): “Pure-jump models have been extensively considered and used for general options pricing (Huang and Wu, 2004; Broadie and Detemple, 2004; Levendorskii, 2004; Schoutens, 2006; Ivanov, 2007), and for foreign exchange options pricing (Huang and Hung, 2005; Daal and Madan, 2005; Carr and Wu, 2007).”
- Recent Developments in Dynamic Pricing Research: Multiple Products, Competition, and Limited Demand Information (2015, background): “Option pricing problems have been studied extensively in the literature (e.g., Bates 2003, Broadie and Detemple 2004).”
- Testing for pure-jump processes for high-frequency data (2015, background): “vy-driven continuous-time moving average (CARMA) models of Brockwell (2001) for the stochastic volatility. Pure-jump models have been extensively used for general option pricing [Huang and Wu (2004); Broadie and Detemple (2004); Levendorski˘ı (2004); Schoutens (2006); Ivanov (2007)] and for foreign ”