Narrow search
Showing 1 - 10 of 458
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Cover Image
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
Cover Image
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