The skewness premium : option pricing under asymmetric processes
Year of publication: |
1997
|
---|---|
Authors: | Bates, David S. |
Published in: |
Advances in futures and options research : a research annual. - Stamford, Conn. : JAI Press, ISSN 1048-1559, ZDB-ID 1115175-4. - Vol. 9.1997, p. 51-82
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory | Schätzung | Estimation | Index-Futures | Index futures | USA | United States | 1983-1993 |
-
Extracting market views from the price of options on futures
Martinez, Gregory M., (1998)
-
An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph, (1998)
-
Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R., (2003)
- More ...
-
How Crashes Develop : Intradaily Volatility and Crash Evolution
BATES, DAVID S., (2018)
-
Jumps and stochastic volatility : exchange rate processes implicit in PHLX Deutschemark options
Bates, David S., (1993)
-
Post-'87 crash fears in S&P 500 futures options
Bates, David S., (1997)
- More ...