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Option valuation with conditional skewness
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: Journal of econometrics 131 (2006) 1/2, pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
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GARCH option valuation : theory and evidence
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
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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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Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 8-30
Persistent link: https://www.econbiz.de/10011687332
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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