The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Maximum likelihood estimation of stochastic volatility models
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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
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
Theory of rational option pricing
Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
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
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
Martingales and stochastic integrals in the theory of continuous trading
Harrison, J. M., & Pliska, S. R. (1981) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(81)90026-0 · Cited by 2,835
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
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Kim, S., Shepherd, N., & Chib, S. (1998) · Review of Economic Studies · doi:10.1111/1467-937x.00050 · Cited by 2,261
Option valuation using the fast Fourier transform
Carr, P., & Madan, D. (1999) · The Journal of Computational Finance · doi:10.21314/jcf.1999.043 · Cited by 2,150
Cited by
The Price of Correlation Risk: Evidence from Equity Options
DRIESSEN, J., MAENHOUT, P. J., & VILKOV, G. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01467.x · Cited by 423
Christoffersen, P., Jacobs, K., & Mimouni, K. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhq032 · Cited by 312
Metadata
- Authors
- Aït-Sahalia, Y., & Kimmel, R.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2007-02
- Volume
- 83
- Issue
- 2
- Pages
- 413-452
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3122025015
- Cited by
- 538
- References
- 38
- FWCI
- 42.01
- Type
- journal article
- Language
- en
- Open access
- closed
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- Aït-Sahalia, Y., & Kimmel, R. (2007). Maximum likelihood estimation of stochastic volatility models. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2005.10.006
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.
