Stochastic processes and financial applications

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

Smeal faculty

• Anh Le - score 11.0
• Jingzhi Huang - score 4.0
• Joel M. Vanden - score 4.0
• Steven J. Huddart - score 3.0
• Charles Cao - score 3.0
• Zhongyi Yuan - score 2.0
• John C. Liechty - score 1.0
• Chris J. Muscarella - score 1.0
• Charles Whiteman - score 1.0

Papers

• Empirical Performance of Alternative Option Pricing Models (1997) - cites 2708
• Employee stock option exercises an empirical analysis (1996) - cites 485
• Employee stock options (1994) - cites 352
• Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004) - cites 321
• Pricing and Hedging American Options: A Recursive Integration Method (1996) - cites 294
• Pricing and hedging long-term options (2000) - cites 243
• Do Call Prices and the Underlying Stock Always Move in the Same Direction? (2000) - cites 191
• Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs (2011) - cites 154
• Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010) - cites 145
• The valuation of American barrier options using the decomposition technique (2000) - cites 97
• PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD (1999) - cites 86
• Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile (1999) - cites 65
• Information Quality and Options (2006) - cites 63
• Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2006) - cites 55
• Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011) - cites 32
• Valuing the Reload Features of Executive Stock Options (1999) - cites 25
• An Equilibrium Term Structure Model with Recursive Preferences (2010) - cites 25
• Interest Rate Volatility and No-Arbitrage Affine Term Structure Models (2021) - cites 24
• Pricing extreme mortality risk in the wake of the COVID-19 pandemic (2022) - cites 15
• Tractable Term Structure Models (2022) - cites 12
• Exact Superreplication Strategies for a Class of Derivative Assets (2006) - cites 10
• A Robust Analysis of the Risk-Structure of Equilibrium Term Structures of Bond Yields (2012) - cites 8
• PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (2006) - cites 5
• Tractable Term-Structure Models (2015) - cites 3
• Interest Rate Volatility and No-Arbitrage Term Structure Models (2012) - cites 2
• Pricing Extreme Mortality Risk amid the COVID-19 Pandemic (2021) - cites 2
• THE BRITISH PETROLEUM STOCK OFFERING: AN APPLICATION OF OPTION PRICING (1989) - cites 2
• Tractable Term-Structure Models and the Zero Lower Bound (2015) - cites 1
• Asset pricing: a new approach for a family of problems (2026) - cites 0
• Tractable Term-Structure Models (2021) - cites 0