The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Option values under stochastic volatility: Theory and empirical estimates
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
The Advanced Theory of Statistics.
Clarke, G. M., Kendall, M., & Stuart, A. (1978) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344782 · Cited by 6,658
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
The Variation of Certain Speculative Prices
Mandelbrot, B. (1963) · The Journal of Business · doi:10.1086/294632 · Cited by 4,747
The variation of certain speculative prices
Mandelbrot, B. B. (1997) · Fractals and Scaling in Finance · doi:10.1007/978-1-4757-2763-0_14 · Cited by 4,468
The theory and practice of econometrics
(1986) · Journal of Macroeconomics · doi:10.1016/0164-0704(86)90027-3 · Cited by 4,342
The Pricing of Options on Assets with Stochastic Volatilities
HULL, J., & WHITE, A. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb02568.x · Cited by 3,807
Cited by
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
Stein, E. M., & Stein, J. C. (1991) · Review of Financial Studies · doi:10.1093/rfs/4.4.727 · Cited by 1,507
Bayesian Analysis of Stochastic Volatility Models
Jacquier, E., Polson, N. G., & Rossi, P. E. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102753410408 · Cited by 1,362
Metadata
- Authors
- Wiggins, J. B.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1987-12
- Volume
- 19
- Issue
- 2
- Pages
- 351-372
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2017297397
- Cited by
- 904
- References
- 38
- FWCI
- 16.36
- Type
- journal article
- Language
- en
- Open access
- closed
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- Wiggins, J. B. (1987). Option values under stochastic volatility: Theory and empirical estimates. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(87)90009-2
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
