Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Prospect Theory: An Analysis of Decision under Risk

1979 • 41,742 citations

Prospect theory: An analysis of decision under risk

1988 • 34,484 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Time Series Analysis.

1995 • 11,935 citations

Continuous Univariate Distributions.

1995 • 9,403 citations

Continuous Martingales and Brownian Motion

1999 • 6,391 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Time Series Analysis

1997 • 3,571 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

On estimating the expected return on the market

1980 • 2,932 citations

Transform Analysis and Asset Pricing for Affine Jump-diffusions

2000 • 2,898 citations

Conditional Skewness in Asset Pricing Tests

2000 • 2,767 citations

Empirical Performance of Alternative Option Pricing Models

1997 • 2,390 citations

Continuous Martingales and Brownian Motion

1991 • 1,960 citations

The Variance Gamma Process and Option Pricing

1998 • 1,897 citations

The jump-risk premia implicit in options: evidence from an integrated time-series study

2002 • 1,798 citations

Implied Binomial Trees

1994 • 1,767 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

Post-'87 crash fears in the S&P 500 futures option market

2000 • 1,478 citations

Implied Volatility Functions: Empirical Tests

1998 • 1,315 citations

The relation between implied and realized volatility

1998 • 1,145 citations

Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

1998 • 1,122 citations

Empirical Performance of Alternative Option Pricing Models

1997 • 1,098 citations

The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

1991 • 940 citations

Recovering Risk Aversion from Option Prices and Realized Returns

2000 • 900 citations

Autoregressive Conditional Skewness

1999 • 782 citations

Spanning and derivative-security valuation

2000 • 765 citations

Skewness Preference and the Valuation of Risk Assets

1976 • 750 citations

The Informational Content of Implied Volatility

1993 • 691 citations

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978

1985 • 642 citations

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

2000 • 618 citations

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

1996 • 589 citations

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

1993 • 588 citations

The quality of market volatility forecasts implied by S&P 100 index option prices

1998 • 499 citations

The Fundamental Theorem of Parameter-Preference Security Valuation

1973 • 472 citations

A Simple Nonparametric Approach to Derivative Security Valuation

1996 • 377 citations

Optimal positioning in derivative securities

2001 • 348 citations

Implied Binomial Trees

1994 • 326 citations

The Constant Elasticity of Variance Model and Its Implications For Option Pricing

1980 • 283 citations

Option Pricing and the Martingale Restriction

1995 • 260 citations

Option Valuation with Systematic Stochastic Volatility

1993 • 244 citations

The Crash of '87: Was It Expected? The Evidence from Options Markets

1991 • 214 citations

Accounting for Biases in Black-Scholes

2004 • 160 citations

Options on Leveraged Equity: Theory and Empirical Tests

1997 • 119 citations

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978

1985 • 119 citations

A Simple Nonparametric Approach to Derivative Security Valuation

1996 • 114 citations

Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities

1999 • 71 citations

Optimal positioning in derivative securities

2001 • 59 citations

The Constant Elasticity of Variance Model and Its Implications For Option Pricing

1980 • 59 citations

Options on Leveraged Equity: Theory and Empirical Tests

1997 • 54 citations

Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities

2000 • 46 citations

Accouting for Biases in Black-Scholes

2002 • 41 citations

Implied Volatility Smiles: Empirical Tests

1998 • 24 citations