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~isPartOf:"Journal of econometrics"
~isPartOf:"Mathematical methods of operations research"
~language:"eng"
~person:"Kim, Young Shin"
~person:"Xiu, Dacheng"
~source:"econis"
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Option Prices with Stochastic...
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Option pricing theory
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4
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Kim, Young Shin
Xiu, Dacheng
Todorov, Viktor
6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
3
Bondarenko, Oleg
3
Gouriéroux, Christian
3
Monfort, Alain
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Journal of econometrics
Mathematical methods of operations research
Journal of banking & finance
3
International journal of theoretical and applied finance
2
Journal of risk and financial management : JRFM
2
Review of derivatives research
2
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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2
The relative entropy in CGMY processes and its applications to finance
Kim, Young Shin
;
Lee, Jeong Hyun
- In:
Mathematical methods of operations research
66
(
2007
)
2
,
pp. 327-338
Persistent link: https://www.econbiz.de/10003564151
Saved in:
3
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
Saved in:
4
A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang
;
Xiu, Dacheng
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 176-196
Persistent link: https://www.econbiz.de/10011591632
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5
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
6
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
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