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Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Aït-Sahalia, Yacine; Bickel, Peter J.; Stoker, Thomas … - In: Journal of econometrics 105 (2001) 2, pp. 363-412
Persistent link: https://www.econbiz.de/10001633671
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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
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Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine; Wang, Yubo; Yared, Francis - In: Journal of econometrics 102 (2001) 1, pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
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Nonparametric option pricing under shape restrictions
Aït-Sahalia, Yacine; Duarte, Jefferson - In: Journal of econometrics 116 (2003) 1/2, pp. 9-47
Persistent link: https://www.econbiz.de/10001772140
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Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
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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