References
- Andersen , T , Bollerslev , T , Diebold , F and Labys , P . 2003 . Modelling and forecasting realized volatility . Econometrica , 71 : 579 – 625 .
- Anderson , TW . 1963 . Asymptotic theory for principal component analysis . Annals of Mathematical Statistics , 34 : 122 – 48 .
- Bakshi , G , Cao , C and Chen , Z . 1997 . Empirical performance of alternative option pricing models . Journal of Finance , 52 : 2003 – 49 .
- Bates , DS . 1996 . Jump and stochastic volatility: exchange rate processes implicit in Deutsche Mark options . Review of Financial Studies , 9 : 69 – 107 .
- Bates , DS . 2000 . Post-87 crash fears in the S&P 500 futures option market . Journal of Econometrics , 94 : 181 – 238 .
- Bates , DS . 2001 . The market for crash risk . 2001 . Working Paper 8557 , NBER .
- Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 : 637 – 54 .
- Brockman , P and Chowdhury , M . 1997 . Deterministic versus stochastic volatility: implications for option pricing models . Applied Financial Economics , 7 : 499 – 505 .
- Buraschi , A and Jackwerth , J . 2001 . The price of a smile: hedging and spanning in option markets . Review of Financial Studies , 14 : 495 – 527 .
- Christensen , BJ and Prabhala , NR . 1998 . The relation between implied and realized volatility . Journal of Financial Economics , 50 : 125 – 50 .
- Christiansen , C and Hansen , CS . 2002 . Implied volatility of interest rate options; an empirical investigation of the market model . Review of Derivatives Research , 5 : 51 – 80 .
- Corredor , P and Santamaria , R . 2004 . Forcasting volatility in the spanish option market . Applied Financial Economics , 14 : 1 – 11 .
- Derman , E and Kani , I . 1994 . Riding the smile . Risk , 7 : 32 – 9 .
- Duffie , D , Pan , J and Singleton , K . 2000 . Transform analysis and asset pricing for affine jump-diffusions . Econometrica , 68 : 1343 – 76 .
- Dumas , B , Fleming , J and Whaley , RE . 1998 . Implied volatility functions: empirical tests . Journal of Finance , 6 : 2059 – 106 .
- Dupire , B . 1994 . Pricing with a smile . Journal of Financial and Quantitative Analysis , 7 : 18 – 20 .
- Flury , B . 1988 . Common Principal Components and Related Multivariate Models , 1st , New York, USA : John Wiley & Sons .
- Heston , SL . 1993 . A closed-form solution for options with stocastic volatility with application to bond and currency options . Review of Financial Studies , 6 : 327 – 343 .
- Hull , JC . 2000 . Options, Futures and Other Derivatives , 4th , Upper Saddle River, , NJ, USA : Prentice Hall International, Inc .
- Phillips , P and Ouliaris , S . 1988 . Testing for cointegration using a principal components method . Journal of Economic Dynamics and Control , 12 : 205 – 30 .
- Rubinstein , M . 1994 . Implied binomial trees . Journal of Finance , 49 : 771 – 818 .