The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
Option valuation with conditional skewness
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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
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Continuous Univariate Distributions.
Omori, Y., Johnson, N. L., Kotz, S., & Balakrishnan, N. (1995) · Journal of the American Statistical Association · doi:10.2307/2291547 · Cited by 9,084
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Self-citationOption 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 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
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
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
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
Metadata
- Authors
- Christoffersen, P., Heston, S., & Jacobs, K.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2006-03
- Volume
- 131
- Issue
- 1-2
- Pages
- 253-284
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W3124367289
- Cited by
- 281
- References
- 37
- FWCI
- 21.01
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Option valuation with conditional skewness. https://app.cochat.ai/papers/10.1016/j.jeconom.2005.01.010
- The paper
- Christoffersen, P., Heston, S., & Jacobs, K. (2006). Option valuation with conditional skewness. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2005.01.010
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.
