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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550
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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper; Santucci de Magistris, Paolo - 2010
Persistent link: https://www.econbiz.de/10008651637
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Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008651727
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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A Jump-diffusion model with stochastic volatility and durations
Wei, Wei; Pelletier, Denis - 2015
Persistent link: https://www.econbiz.de/10011327726
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The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226837
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Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea; Santucci de Magistris, Paolo; … - 2016
Persistent link: https://www.econbiz.de/10011524099
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Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015
Persistent link: https://www.econbiz.de/10011516993
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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071