Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

By Jing-zhi Huang, Liuren Wu. 2004

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/67cdb553e2624c79a960ff79d0dfe6e6833690a7

Citations in the corpus

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).”
Option Valuation with Observable Volatility and Jump Dynamics (2015, unknown): “See for example Andersen, Bollerslev, and Diebold (2007), and Busch, Christensen, and Nielsen (2011).3 Our goal is to assess if the improvements found in the volatility forecasting literature 1See for example Bates (2000, 2012), Eraker (2004), Huang and Wu (2004), and Santa-Clara and Yan (2010).”
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, unknown): “Huang and Wu (2004) consider a two-factor volatility model driven by Levy processes.”
Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “…(1998), Ghysels, Patilea, Renault and Torrès (1997), Melick and Thomas (1997), Ait-Sahalia and Lo (1998), Bakshi and Madan (2000), Jondeau and Rockinger (2000), Campbell and Li (2002), Cont and da Fonseca (2002), Duan (2002), Ait-Sahalia and Duarte (2003), Carr and Wu (2003), Huang and Wu (2004)].”
Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “Jarrow and Rudd (1982) and Rubinstein (1998); lognormal mixture models of Bahra (1997) and Melick and Thomas (1997); and models for stochastic processes of Heston (1993), Bates (1996) and Wu and Huang (2004) .”