Stochastic skew in currency options☆
Data up to Jan 2025
Total Citations Per Year
Abstract
References (34)
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
A New Approach to Linear Filtering and Prediction Problems
1960 • 28,714 citations
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
1993 • 8,830 citations
Option pricing when underlying stock returns are discontinuous
1976 • 5,962 citations
Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
1989 • 5,821 citations
Limit Theorems for Stochastic Processes.
1988 • 4,355 citations
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
1991 • 4,036 citations
The Pricing of Options on Assets with Stochastic Volatilities
1987 • 3,897 citations
Empirical Performance of Alternative Option Pricing Models
1997 • 2,390 citations
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
1996 • 2,306 citations
Option valuation using the fast Fourier transform
1999 • 2,265 citations
The Variance Gamma Process and Option Pricing
1998 • 1,897 citations
The Fine Structure of Asset Returns: An Empirical Investigation
2002 • 1,839 citations
A Jump-Diffusion Model for Option Pricing
2002 • 1,800 citations
The Variance Gamma (V.G.) Model for Share Market Returns
1990 • 1,562 citations
Post-'87 crash fears in the S&P 500 futures option market
2000 • 1,478 citations
Foreign currency option values
1983 • 1,077 citations
An Empirical Investigation of Continuous‐Time Equity Return Models
2002 • 912 citations
Time-changed Lévy processes and option pricing
2003 • 726 citations
The Finite Moment Log Stable Process and Option Pricing
2003 • 532 citations
Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes
2004 • 330 citations
Regime switching in foreign exchange rates:
2000 • 237 citations
Implied exchange rate distributions: evidence from OTC option markets
1998 • 226 citations
The Central Tendency: A Second Factor in Bond Yields
1998 • 156 citations
Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options
1996 • 142 citations
Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options
1995 • 121 citations
Equilibrium Valuation of Foreign Exchange Claims
1997 • 113 citations
The forecasting ability of correlations implied in foreign exchange options
1998 • 109 citations
Crash–O–Phobia
2005 • 107 citations
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*
2006 • 73 citations
An Empirical Examination of the Variance‐Gamma Model for Foreign Currency Options*
2005 • 70 citations
Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns
2002 • 52 citations
The performance of alternative valuation models in the OTC currency options market
2003 • 51 citations
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
2006 • 35 citations