메뉴 건너뛰기




Volumn 71, Issue 3, 1998, Pages 371-405

New insights into smile, mispricing, and value at risk: The hyperbolic model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0000670088     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/209749     Document Type: Article
Times cited : (270)

References (58)
  • 1
    • 0003354507 scopus 로고
    • Théorie de la spéculation
    • P. Cootner (ed.), Cambridge. Mass.: MIT Press
    • Bachelier, L. 1900. Théorie de la spéculation. In P. Cootner (ed.), The Random Character of Stock Market Prices. Cambridge. Mass.: MIT Press.
    • (1900) The Random Character of Stock Market Prices
    • Bachelier, L.1
  • 2
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing models
    • Bakshi G.; Cao, C.; and Chen, Z. 1997. Empirical performance of alternative option pricing models. Journal of Finance 52:2003-49.
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, G.1    Cao, C.2    Chen, Z.3
  • 3
    • 0000587181 scopus 로고
    • On jumps in common stock prices and their impact on call option pricing
    • Ball, C. A., and Torous. W. N. 1985. On jumps in common stock prices and their impact on call option pricing. Journal of Finance 40:155-73.
    • (1985) Journal of Finance , vol.40 , pp. 155-173
    • Ball, C.A.1    Torous, W.N.2
  • 7
    • 84977707224 scopus 로고
    • The crash of '87: Was it expected? The evidence from options markets
    • Bates, D. S. 1991. The crash of '87: Was it expected? The evidence from options markets. Journal of Finance 46:1009-44.
    • (1991) Journal of Finance , vol.46 , pp. 1009-1044
    • Bates, D.S.1
  • 8
    • 0030534228 scopus 로고    scopus 로고
    • Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options
    • Bates, D. S. 1996. Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Review of Financial Studies 9:69-107.
    • (1996) Review of Financial Studies , vol.9 , pp. 69-107
    • Bates, D.S.1
  • 9
    • 0009751426 scopus 로고    scopus 로고
    • Working paper no. 5894. Cambridge. Mass.: National Bureau of Economic Research
    • Bates, D. S. 1997. Post-'87 crash fears in S&P 500 futures options. Working paper no. 5894. Cambridge. Mass.: National Bureau of Economic Research.
    • (1997) Post-'87 Crash Fears in S&P 500 Futures Options
    • Bates, D.S.1
  • 10
    • 0003646251 scopus 로고
    • New York: Macmillan. Free Press
    • Bernstein, P. L. 1992. Capital Ideas. New York: Macmillan. Free Press.
    • (1992) Capital Ideas
    • Bernstein, P.L.1
  • 11
    • 0009979301 scopus 로고
    • How to use the holes in Black-Scholes
    • C. W. Smith and C. W. Smithson (eds.). New York: Harper Business Books
    • Black, F. 1990. How to use the holes in Black-Scholes. In C. W. Smith and C. W. Smithson (eds.). The Handbook of Financial Engineering. New York: Harper Business Books.
    • (1990) The Handbook of Financial Engineering
    • Black, F.1
  • 12
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81:637-54.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 14
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31:307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 16
    • 0004256573 scopus 로고
    • Reading, Mass.: Addison-Wesley
    • Breiman, L. 1968. Probability. Reading, Mass.: Addison-Wesley.
    • (1968) Probability
    • Breiman, L.1
  • 17
    • 0002552781 scopus 로고
    • Local regression models
    • J. M. Chambers and T. J. Hastie (eds.). London: Chapman & Hall
    • Cleveland, W. S.; Grosse. E.; and Shyu, W. M. 1993. Local regression models. In J. M. Chambers and T. J. Hastie (eds.). Statistical Models in S. London: Chapman & Hall.
    • (1993) Statistical Models in S
    • Cleveland, W.S.1    Grosse, E.2    Shyu, W.M.3
  • 18
    • 0010204680 scopus 로고
    • FORC preprint 94/ 53. Coventry: University of Warwick, Warwick Business School
    • Clewlow, L., and Xu, X. 1993. The dynamics of stochastic volatility. FORC preprint 94/ 53. Coventry: University of Warwick, Warwick Business School.
    • (1993) The Dynamics of Stochastic Volatility
    • Clewlow, L.1    Xu, X.2
  • 20
    • 0002733510 scopus 로고
    • Stock market volatility and the information content of stock index options
    • Day, T. E., and Lewis, C. M. 1992. Stock market volatility and the information content of stock index options. Journal of Econometrics 52:267-87.
    • (1992) Journal of Econometrics , vol.52 , pp. 267-287
    • Day, T.E.1    Lewis, C.M.2
  • 21
    • 0001249935 scopus 로고
    • A general version of the fundamental theorem of asset pricing
    • Delbaen, F., and Schachermayer, W. 1994. A general version of the fundamental theorem of asset pricing. Mathematische Annalen 300:463-520.
    • (1994) Mathematische Annalen , vol.300 , pp. 463-520
    • Delbaen, F.1    Schachermayer, W.2
  • 22
  • 23
    • 0002567184 scopus 로고
    • The GARCH option pricing model
    • Duan, J.-C. 1995. The GARCH option pricing model. Mathematical Finance 5:13-32.
    • (1995) Mathematical Finance , vol.5 , pp. 13-32
    • Duan, J.-C.1
  • 24
    • 0002004145 scopus 로고
    • Pricing with a smile
    • Dupire, B. 1994. Pricing with a smile. Risk 7:18-20.
    • (1994) Risk , vol.7 , pp. 18-20
    • Dupire, B.1
  • 26
    • 84972495814 scopus 로고
    • Hyperbolic distributions in finance
    • Eberlein, E., and Keller, U. 1995. Hyperbolic distributions in finance. Bernoulli 1:281-99.
    • (1995) Bernoulli , vol.1 , pp. 281-299
    • Eberlein, E.1    Keller, U.2
  • 27
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama, E. 1965. The behavior of stock market prices. Journal of Business 38:34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 28
    • 0000114661 scopus 로고    scopus 로고
    • Testing the validity of value-at-risk measures
    • Gamrowski, B., and Rachev, S. T. 1996. Testing the validity of value-at-risk measures. Lecture Notes in Statistics 114:307-20.
    • (1996) Lecture Notes in Statistics , vol.114 , pp. 307-320
    • Gamrowski, B.1    Rachev, S.T.2
  • 29
    • 0039939766 scopus 로고
    • Black-Scholes option pricing and robust variance estimation
    • S. Hodges (ed.). Manchester: Manchester University Press
    • Geske, R., and Torous, W. 1990. Black-Scholes option pricing and robust variance estimation. In S. Hodges (ed.). Options: Recent Advances in Theory and Practice. Manchester: Manchester University Press.
    • (1990) Options: Recent Advances in Theory and Practice
    • Geske, R.1    Torous, W.2
  • 30
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    • Heston, S. L. 1993a. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6:327-43.
    • (1993) Review of Financial Studies , vol.6 , pp. 327-343
    • Heston, S.L.1
  • 31
    • 84993848889 scopus 로고
    • Invisible parameters in option prices
    • Heston, S. L. 1993b. Invisible parameters in option prices. Journal of Finance 48:933-47.
    • (1993) Journal of Finance , vol.48 , pp. 933-947
    • Heston, S.L.1
  • 32
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull, J. C., and White, A. 1987. The pricing of options on assets with stochastic volatilities. Journal of Finance 42:281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.C.1    White, A.2
  • 35
    • 0032221565 scopus 로고    scopus 로고
    • Option pricing in ARCH-type models
    • Kallsen, J., and Taqqu. M. 1998. Option pricing in ARCH-type models. Mathematical Finance 8:13-26.
    • (1998) Mathematical Finance , vol.8 , pp. 13-26
    • Kallsen, J.1    Taqqu, M.2
  • 40
    • 84986841347 scopus 로고
    • Option pricing with v.g. martingale components
    • Madan, D. B., and Milne, F. 1991. Option pricing with v.g. martingale components. Mathematical Finance 1:39-55.
    • (1991) Mathematical Finance , vol.1 , pp. 39-55
    • Madan, D.B.1    Milne, F.2
  • 41
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot, B. 1963. The variation of certain speculative prices. Journal of Business 36: 394-419.
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 42
    • 0010207603 scopus 로고    scopus 로고
    • Risk reversal risk
    • McCauley, R., and Melick, W. 1996. Risk reversal risk. Risk 9, no. 11:54-57.
    • (1996) Risk , vol.9 , Issue.11 , pp. 54-57
    • McCauley, R.1    Melick, W.2
  • 43
    • 0005618944 scopus 로고
    • Pricing foreign currency options with stochastic volatility
    • Melino, A., and Turnbull, S. M. 1990. Pricing foreign currency options with stochastic volatility. Journal of Econometrics 45:239-65.
    • (1990) Journal of Econometrics , vol.45 , pp. 239-265
    • Melino, A.1    Turnbull, S.M.2
  • 45
    • 34248474317 scopus 로고
    • Option pricing when underlying stock returns are discontinuous
    • Merton, R. C. 1976. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3:125-44.
    • (1976) Journal of Financial Economics , vol.3 , pp. 125-144
    • Merton, R.C.1
  • 46
    • 0000472402 scopus 로고
    • General equilibrium pricing of options on the market portfolio with discontinuous returns
    • Naik, V., and Lee, M. 1990. General equilibrium pricing of options on the market portfolio with discontinuous returns. Review of Financial Studies 3:493-521.
    • (1990) Review of Financial Studies , vol.3 , pp. 493-521
    • Naik, V.1    Lee, M.2
  • 47
    • 0001138028 scopus 로고
    • Brownian motion in the stock market
    • Osborne, M. F. M. 1959. Brownian motion in the stock market. Operations Research 7: 145-73.
    • (1959) Operations Research , vol.7 , pp. 145-173
    • Osborne, M.F.M.1
  • 48
    • 0030139575 scopus 로고    scopus 로고
    • The econometrics of financial markets
    • Pagan, A. 1996. The econometrics of financial markets. Journal of Empirical Financial 3: 15-102.
    • (1996) Journal of Empirical Financial , vol.3 , pp. 15-102
    • Pagan, A.1
  • 49
    • 45149141217 scopus 로고
    • Alternative models for conditional stock volatility
    • Pagan, A., and Schwert, G. W. 1990. Alternative models for conditional stock volatility. Journal of Econometrics 45:267-90.
    • (1990) Journal of Econometrics , vol.45 , pp. 267-290
    • Pagan, A.1    Schwert, G.W.2
  • 50
    • 0004201351 scopus 로고
    • Statistical research report SSR 027-94. Canberra: Australian National University, Institute of Advanced Studies
    • Platen, E., and Schweizer, M. 1994. On smile and skewness. Statistical research report SSR 027-94. Canberra: Australian National University, Institute of Advanced Studies.
    • (1994) On Smile and Skewness
    • Platen, E.1    Schweizer, M.2
  • 52
    • 84944838542 scopus 로고
    • 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
    • Rubinstein, M. 1985. 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. Journal of Finance 40:455-80.
    • (1985) Journal of Finance , vol.40 , pp. 455-480
    • Rubinstein, M.1
  • 53
    • 84993899427 scopus 로고
    • Implied binomial trees
    • Rubinstein, M. 1994. Implied binomial trees. Journal of Finance 49:771-818.
    • (1994) Journal of Finance , vol.49 , pp. 771-818
    • Rubinstein, M.1
  • 54
  • 55
    • 24944554085 scopus 로고
    • Option pricing when the variance changes randomly: Theory, estimation, and an application
    • Scott, L. O. 1987. Option pricing when the variance changes randomly: Theory, estimation, and an application. Journal of Financial and Quantitative Analysis 22:419-38.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 419-438
    • Scott, L.O.1
  • 56
    • 84986532398 scopus 로고
    • The valuation of currency options for alternate stochastic processes
    • Shastri, K., and Wethyavivorn, K. 1987. The valuation of currency options for alternate stochastic processes. Journal of Financial Research 10:283-93.
    • (1987) Journal of Financial Research , vol.10 , pp. 283-293
    • Shastri, K.1    Wethyavivorn, K.2
  • 58
    • 45949112947 scopus 로고
    • Option values under stochastic volatility: Theory and empirical estimates
    • Wiggins, J. B. 1987. Option values under stochastic volatility: Theory and empirical estimates. Journal of Financial Economics 19:351-72.
    • (1987) Journal of Financial Economics , vol.19 , pp. 351-372
    • Wiggins, J.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.