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~isPartOf:"Journal of financial economics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Jacobs, Kris"
~person:"Jacquier, Antoine (Jack)"
~source:"econis"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Option pricing theory
Stochastic process
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Volatility
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3
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2
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Jacobs, Kris
Jacquier, Antoine (Jack)
Christoffersen, Peter F.
5
Aït-Sahalia, Yacine
3
Joslin, Scott
3
Ornthanalai, Chayawat
3
Ai, Hengjie
2
Andersen, Torben
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2
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2
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2
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2
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2
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2
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2
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2
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Pan, Jun
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1
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Journal of financial economics
Management science : journal of the Institute for Operations Research and the Management Sciences
Journal of financial and quantitative analysis : JFQA
2
The review of financial studies
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
2
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
3
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
4
The importance of the loss function in option valuation
Christoffersen, Peter F.
;
Jacobs, Kris
- In:
Journal of financial economics
72
(
2004
)
2
,
pp. 291-318
Persistent link: https://www.econbiz.de/10002033587
Saved in:
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