The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Stochastic skew in currency options☆
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Citations
Cites
A New Approach to Linear Filtering and Prediction Problems
Kalman, R. E. (1960) · Journal of Basic Engineering · doi:10.1115/1.3662552 · Cited by 31,751
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
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
Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
Vuong, Q. H. (1989) · Econometrica · doi:10.2307/1912557 · Cited by 5,929
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Limit Theorems for Stochastic Processes.
Monrad, D., Jacod, J., & Shiryaev, A. N. (1988) · Journal of the American Statistical Association · doi:10.2307/2290171 · Cited by 3,990
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
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
Cited by
Crash-neutral currency carry trades
Jurek, J. W. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.05.004 · Cited by 319
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
Christoffersen, P., Heston, S., & Jacobs, K. (2013) · Review of Financial Studies · doi:10.1093/rfs/hht033 · Cited by 308
Metadata
- Authors
- CARR, P., & WU, L.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2007-10
- Volume
- 86
- Issue
- 1
- Pages
- 213-247
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3124350762
- Cited by
- 339
- References
- 24
- FWCI
- 37.20
- Type
- journal article
- Language
- en
- Open access
- closed
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- The paper
- CARR, P., & WU, L. (2007). Stochastic skew in currency options☆. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2006.03.010
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.
