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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...
Persistent link: https://www.econbiz.de/10011506352
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Executive stock options and concavity of the option price
Boyle, Phelim P.; Scott, William R. - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 72-84
Persistent link: https://www.econbiz.de/10003346508
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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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European option pricing with discrete stochastic dividends
Chance, Don M.; Kumar, Raman; Rich, Don R. - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 39-45
Persistent link: https://www.econbiz.de/10001708436
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Volatility risk premiums embedded in individual equity options : some new insights
Bakshi, Gurdip S.; Kapadia, Nikunj - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 45-54
Persistent link: https://www.econbiz.de/10001799002
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Valuation of stock option grants under multiple severance risks
Pandher, Gurupdesh S. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 25-37
Persistent link: https://www.econbiz.de/10001861536
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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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Valuing multiple employee stock options issued by the same company
Dennis, Patrick; Rendleman, Richard J. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 44-69
Persistent link: https://www.econbiz.de/10003771453
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Cross-sectional analysis of risk-neutral skewness
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52
Persistent link: https://www.econbiz.de/10003862759
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A matrix-based lattice model to value employee stock options
Bajaj, Mukesh; Mazumdar, Sumon C.; Surana, Rahul; Unni, … - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10003379099