Search Results - subject:"jump risk"

Jump and variance risk premia in the S&P 500

Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83

Persistent link: https://www.econbiz.de/10011635040

Risk aversion, fanning preference and volatility smirk on S&P 500 index options

Chen, Jian; Ma, Chenghu - In: Applied economics 48 (2016) 34/36, pp. 3277-3292

Persistent link: https://www.econbiz.de/10011617231

The 2011 European short sale ban : a cure or a curse?

Félix, Luiz; Kräussl, Roman; Stork, Philip - In: Journal of financial stability 25 (2016), pp. 115-131

Persistent link: https://www.econbiz.de/10011704876

Pricing power exchange options with correlated jump risk

Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97

Persistent link: https://www.econbiz.de/10011657466

Volatility Jumps

Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010

The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the S&P VIX index compiled by the CBOE. The data suggest that stock market volatility is best described as a pure jump process without a continuous...

Persistent link: https://www.econbiz.de/10008549052

State-dependent jump risks for American gold futures option pricing

Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133

Persistent link: https://www.econbiz.de/10011534881

The role of the variance premium in Jump-GARCH option pricing models

Byun, Suk Joon; Jeon, Byoung Hyun; Min, Byungsun; Yoon, … - In: Journal of banking & finance 59 (2015), pp. 38-56

Persistent link: https://www.econbiz.de/10011544288

Valuation and analysis of contingent convertible securities with jump risk

Yang, Zhaojun; Zhao, Zhiming - In: International review of financial analysis 41 (2015), pp. 124-135

Persistent link: https://www.econbiz.de/10011508616

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - Centre Interuniversitaire de Recherche en Analyse des … - 2009

in October 1987. Our results also confirm the importance of jump risk premia for option valuation: jumps cannot … significantly improve the performance of option pricing models unless sizeable jump risk premia are present. Les recherches …

Persistent link: https://www.econbiz.de/10004976985