[1] Johannes, M.S., Polson, N.G. and Stroud, J.R. (2009) Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices. Review of Financial Studies, 22, 2759-2799.
http://dx.doi.org/10.1093/rfs/hhn110
[2] Broadie, M., Chernov, M. and Johannes, M. (2007) Model Specification and Risk Premia: Evidence from Futures Options. Journal of Finance, 62, 1453-1490.
http://dx.doi.org/10.1111/j.1540-6261.2007.01241.x
[3] Christoffersen, P., Jacobs, K. and Mimouni, K. (2010) Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices. Review of Financial Studies, 23, 3141-3189.
http://dx.doi.org/10.1093/rfs/hhq032
[4] Hurn, A.S., Lindsay, K.A. and McClelland, A.J. (2012) Estimating the Parameters of Stochastic Volatility Models Using Option Price Data. Unpublished Working Paper, NCER.
[5] Andersen, T.G., Fusari, N. and Todorov, V. (2012) Parametric Inference and Dynamic State Recovery from Option Panels. NBER Working Paper Series.
[6] Carr, P.P. and Madan, D.B. (1999) Option Evaluation Using the Fast Fourier Transform. Journal of Computational Finance, 2, 61-73.
[7] Borak, S., Detlefsen, K. and Hardle, W. (2005) FFT Based Option Pricing. SFB Discussion Paper 649.
[8] Lord, R., Fang, F. Bervoets, F. and Oosterlee, C.W. (2007) A Fast and Accurate FFT-Based Methodology for Pricing Early-Exercise Options under Levy Processes. SIAM Journal of Scientific Computing, 20, 1678-1705.
[9] Kwok, Y.K., Leung, K.S. and Wong, H.Y. (2012) Efficient Options Pricing Using the Fast Fourier Transform. In: Duan, J.C., Ed., Handbook of Computational Finance, Springer, Berlin, 579-604.
http://dx.doi.org/10.1007/978-3-642-17254-0_21
[10] Fang, F. and Oosterlee, C.W. (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM Journal on Scientific Computing, 31, 826-848.
http://dx.doi.org/10.1137/080718061
[11] Zhang, B., Grzelak, L.A. and Oosterlee, C.W. (2012) Efficient Pricing of Commodity Options with Earlyexercise under the Ornstein-Uhlenbeck Process. Applied Numerical Mathematics, 62, 91-111.
http://dx.doi.org/10.1016/j.apnum.2011.10.005
[12] Heston, S.L. (1993) A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6, 327-343.
[13] Black, F. and Scholes, M. (1973) The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, 637-654.
http://dx.doi.org/10.1086/260062
[14] Johannes, M.S., Polson, N.G. and Stroud, J.R. (2009) Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices. Review of Financial Studies, 22, 2759-2799.
http://dx.doi.org/10.1093/rfs/hhn110
[15] Broadie, M., Chernov, M. and Johannes, M. (2007) Model Specification and Risk Premia: Evidence from Futures Options. Journal of Finance, 62, 1453-1490.
http://dx.doi.org/10.1111/j.1540-6261.2007.01241.x
[16] Christoffersen, P., Jacobs, K. and Mimouni, K. (2010) Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices. Review of Financial Studies, 23, 3141-3189.
http://dx.doi.org/10.1093/rfs/hhq032
[17] Hurn, A.S., Lindsay, K.A. and McClelland, A.J. (2012) Estimating the Parameters of Stochastic Volatility Models Using Option Price Data. Unpublished Working Paper, NCER.
[18] Andersen, T.G., Fusari, N. and Todorov, V. (2012) Parametric Inference and Dynamic State Recovery from Option Panels. NBER Working Paper Series.
[19] Carr, P.P. and Madan, D.B. (1999) Option Evaluation Using the Fast Fourier Transform. Journal of Computational Finance, 2, 61-73.
[20] Borak, S., Detlefsen, K. and Hardle, W. (2005) FFT Based Option Pricing. SFB Discussion Paper 649.
[21] Lord, R., Fang, F. Bervoets, F. and Oosterlee, C.W. (2007) A Fast and Accurate FFT-Based Methodology for Pricing Early-Exercise Options under Levy Processes. SIAM Journal of Scientific Computing, 20, 1678-1705.
[22] Kwok, Y.K., Leung, K.S. and Wong, H.Y. (2012) Efficient Options Pricing Using the Fast Fourier Transform. In: Duan, J.C., Ed., Handbook of Computational Finance, Springer, Berlin, 579-604.
http://dx.doi.org/10.1007/978-3-642-17254-0_21
[23] Fang, F. and Oosterlee, C.W. (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM Journal on Scientific Computing, 31, 826-848.
http://dx.doi.org/10.1137/080718061
[24] Zhang, B., Grzelak, L.A. and Oosterlee, C.W. (2012) Efficient Pricing of Commodity Options with Earlyexercise under the Ornstein-Uhlenbeck Process. Applied Numerical Mathematics, 62, 91-111.
http://dx.doi.org/10.1016/j.apnum.2011.10.005
[25] Heston, S.L. (1993) A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6, 327-343.
[26] Black, F. and Scholes, M. (1973) The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, 637-654.
http://dx.doi.org/10.1086/260062