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Phillips, Peter C. B.
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Yu, Jun
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9
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9
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Journal of econometrics
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ECONIS (ZBW)
1,865
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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
Saved in:
2
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
3
The effects of asymmetric
volatility
and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Leverage and feedback effects on multifactor Wishart stochastic
volatility
for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
6
Pricing and hedging long-term options
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Chen, Zhiwu
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
Saved in:
7
The dynamics of stochastic
volatility
: evidence from underlying and options markets
Jones, Christopher S.
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 181-224
Persistent link: https://www.econbiz.de/10001772147
Saved in:
8
On implied
volatility
for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Saved in:
9
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
Saved in:
10
Bias reduction in spot
volatility
estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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