Factor Models for Option Pricing

Bakshi G., Cao C., Chen Z. (1997) Empirical performance of alternative option pricing models. Journal of Finance 52: 2003–2049

Bates D. (1996) Jumps and stochastic volatility: Exchange rate processes implicit in deutschemark options. Review of Financial Studies 9: 69–108

Barndorff-Nielsen O. E. (1998) Processes of normal inverse Gaussian type. Finance and Stochastics 2: 41–68

Black F., Scholes M. (1973) The pricing of options and corporate liabilities. Journal of Political Economy 81: 637–654

Carr, P., Geman, H., & Madan, D. B. (2001). Pricing and hedging in incomplete markets. Journal of Financial Economics (forthcoming).

Carr, P., Geman, H., Madan, D. B., & Yor, M. (1999). The fine structure of asset returns: An empirical investigation. The Journal of Business (forthcoming).

Carr P., Madan D. B. (1998) Option valuation using the fast Fourier transform. Journal of Computational Finance 2: 61–73

Eberlein E., Keller U. (1995) Hyperbolic distributions in finance. Bernoulli 1 3: 281–299

Eberlein E., Keller U., Prause K. (1998) New insights into smile, mispricing and value at risk: The hyperbolic model. Journal of Business 71: 371–406

Geman, H., Madan, D. B., & Yor, M. (2001). Time changes for Lévy processes. Mathematical Finance (forthcoming).

Harrison J., Kreps D. (1979) Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408

Harrison M., Pliska S. (1981) Martingales and stochastic integrals in the the theory of continuous trading. Stochastic Processes and Their Applications 11: 215–260

Lintner J. (1965) Security prices, risk assets and maximal gains from diversification. Journal of Finance 20: 587–615

Madan D. B., Carr P., Chang E. (1998) The variance gamma process and option pricing model. European Finance Review 2: 79–105

Merton R. C. (1973) Theory of rational option pricing. Bell Journal of Economics and Management Science 4: 141–183

Mossin J. (1966) Equilibrium in a capital asset market. Econometrica 35: 768–783

Ross S. (1976) The arbitrage theory of capital asset pricing. Journal of Economic Theory 13: 341–360

Sharpe W. F. (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425–442