Stochastic processes and financial applications

Field	Economics, Econometrics and Finance
Subfield	Finance
Domain	Social Sciences
OpenAlex	T10067

Smeal faculty

• Charles Cao - score 4.0
• Jingzhi Huang - score 4.0
• Joel M. Vanden - score 4.0
• John C. Liechty - score 1.0
• James A. Miles - score 1.0
• Charles Whiteman - score 1.0

Papers

• Empirical Performance of Alternative Option Pricing Models (1997) - cites 2709
• Empirical Performance of Alternative Option Pricing Models (1997) - cites 1073
• Pricing and Hedging American Options: A Recursive Integration Method (1996) - cites 310
• Pricing and hedging long-term options (2000) - cites 263
• Do Call Prices and the Underlying Stock Always Move in the Same Direction? (2000) - cites 201
• The valuation of American barrier options using the decomposition technique (2000) - cites 102
• PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD (1999) - cites 88
• Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile (1999) - cites 66
• Inflation Risk Premium: Evidence from the TIPS Market (2012) - cites 52
• The informational content of the embedded deflation option in TIPS (2015) - cites 36
• Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011) - cites 32
• High-order ADI scheme for option pricing in stochastic volatility models (2016) - cites 17
• Exact Superreplication Strategies for a Class of Derivative Assets (2006) - cites 10
• The Information Content of the Embedded Deflation Option in TIPS (2011) - cites 6
• The Informational Content of the Embedded Deflation Option in TIPS (2012) - cites 0