Implied ARCH models from options prices

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Options: A Monte Carlo approach

1977 • 1,315 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

Stationarity and Persistence in the GARCH(1,1) Model

1990 • 1,139 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

ARCH models as diffusion approximations

1990 • 974 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models

1966 • 449 citations

Option Pricing when the Variance is Changing

1987 • 398 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

The persistence and implied persistence of volatility of stock returns

1988 • 1 citations