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~person:"Jacobs, Kris"
~person:"Jacquier, Antoine (Jack)"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
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Volatility
14
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14
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8
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4
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4
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Jacobs, Kris
Jacquier, Antoine (Jack)
McAleer, Michael
37
Bollerslev, Tim
29
Todorov, Viktor
26
Asai, Manabu
24
Gupta, Rangan
24
Andersen, Torben
23
Escobar, Marcos
23
Tauchen, George Eugene
23
Carr, Peter
21
Cui, Zhenyu
21
Benth, Fred Espen
19
Zhang, Jin E.
19
Fouque, Jean-Pierre
16
Wang, Xingchun
16
Aït-Sahalia, Yacine
15
Fabozzi, Frank J.
15
Madan, Dilip B.
15
Caporin, Massimiliano
14
Christoffersen, Peter F.
14
Renault, Eric
14
Renò, Roberto
14
Takahashi, Akihiko
14
Wang, Yudong
14
Chan, Joshua
13
Elliott, Robert J.
13
Lin, Shih-kuei
13
Ghysels, Eric
12
Jacquier, Antoine
12
Li, Jia
12
Sircar, Kaushik Ronnie
12
Wong, Hoi Ying
12
Yu, Jun
12
Alòs, Elisa
11
Branger, Nicole
11
Hafner, Christian M.
11
Härdle, Wolfgang
11
Koopman, Siem Jan
11
Mele, Antonio
11
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11
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11
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Journal of financial economics
3
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
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of asset pricing studies
1
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ECONIS (ZBW)
10
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1
Volatility and expected option returns
Hu, Guanglian
;
Jacobs, Kris
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
Saved in:
2
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
3
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
4
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
Saved in:
5
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:
6
Volatility components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
Saved in:
7
Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Mimouni, Karim
- In:
The review of financial studies
23
(
2010
)
8
,
pp. 3141-3189
Persistent link: https://www.econbiz.de/10008662052
Saved in:
8
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:
9
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:
10
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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