A Tale of Two Indices

Article Properties
Cite
Carr, Peter, and Liuren Wu. “A Tale of Two Indices”. The Journal of Derivatives, vol. 13, no. 3, 2006, pp. 13-29, https://doi.org/10.3905/jod.2006.616865.
Carr, P., & Wu, L. (2006). A Tale of Two Indices. The Journal of Derivatives, 13(3), 13-29. https://doi.org/10.3905/jod.2006.616865
Carr, Peter, and Liuren Wu. “A Tale of Two Indices”. The Journal of Derivatives 13, no. 3 (2006): 13-29. https://doi.org/10.3905/jod.2006.616865.
Carr P, Wu L. A Tale of Two Indices. The Journal of Derivatives. 2006;13(3):13-29.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
Title 1992
The informational content of implied volatility The Review of Financial Studies
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Accounting. Bookkeeping
  • Social Sciences: Finance
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 249 1993
Smart Money, Noise Trading and Stock Price Behaviour Review of Economic Studies
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Economic theory. Demography: Economics as a science
 278 1993
A Simple Formula to Compute the Implied Standard Deviation Financial Analysts Journal
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 115 1988
The Pricing of Options and Corporate Liabilities Journal of Political Economy
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Economic theory. Demography: Economics as a science
 14,629 1973
Citations
Title Journal Journal Categories Citations Publication Date
The lead–lag relation between VIX futures and SPX futures Journal of Financial Markets
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option International Review of Economics & Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Quantum Uncertainty and the Black-Scholes Formula

 Quantum Economics and Finance 2024
Skewness and Option Prices under Stochastic Volatility Models: The Role of Shot-Noise Jumps SSRN Electronic Journal 2024
Volatility analysis for the GARCH‐Itô model with option data

 Canadian Journal of Statistics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2023
Citations Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science148
Social Sciences: Commerce: Business147
Social Sciences: Finance138
Social Sciences: Commerce: Business: Accounting. Bookkeeping53
Science: Mathematics24
Social Sciences: Statistics14
Social Sciences: Commerce: Business: Personnel management. Employment management8
Technology: Manufactures: Production management. Operations management5
Social Sciences: Industries. Land use. Labor: Management. Industrial management5
Science: Mathematics: Probabilities. Mathematical statistics4
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods3
Science: Physics2
Medicine2
Science2
Science: Science (General)2
Geography. Anthropology. Recreation: Environmental sciences2
Technology: Engineering (General). Civil engineering (General)2
Technology: Mechanical engineering and machinery: Renewable energy sources1
Technology: Environmental technology. Sanitary engineering1
Science: Biology (General): Ecology1
Social Sciences1
Social Sciences: Finance: Insurance1
Political science: International relations1
The category Social Sciences: Economic theory. Demography: Economics as a science 148 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled International Capital Asset Pricing: Evidence from Options and was published in 2006. The most recent citation comes from a 2024 study titled Skewness and Option Prices under Stochastic Volatility Models: The Role of Shot-Noise Jumps. This article reached its peak citation in 2011, with 27 citations. It has been cited in 99 different journals, 6% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 97 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year