Narrow search
Showing 1 - 10 of 23
Cover Image
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015
Persistent link: https://www.econbiz.de/10011516993
Cover Image
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 - 2009
Persistent link: https://www.econbiz.de/10003865680
Cover Image
Option-based estimation of the price of co-skewness and co-kurtosis risk
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris; … - 2015
Persistent link: https://www.econbiz.de/10011398632
Cover Image
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
Cover Image
GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2012
Persistent link: https://www.econbiz.de/10009667377
Cover Image
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
Cover Image
Is the potential for international diversivication disappearing? : a dynamic copula approach
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2012
Persistent link: https://www.econbiz.de/10009667396
Cover Image
Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226790
Cover Image
Illiquidity premia in the equity options market
Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226833
Cover Image
The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226837