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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Simulation-based pricing of convertible bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - In: Journal of empirical finance 15 (2008) 2, pp. 310-331
Persistent link: https://www.econbiz.de/10003699167
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 89-105
Persistent link: https://www.econbiz.de/10010358117