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Equity volatility term structures and the cross section of option returns
Vasquez, Aurelio - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2727-2754
Persistent link: https://www.econbiz.de/10011929375
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Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
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A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 423-440
Persistent link: https://www.econbiz.de/10001251496
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Crash risk in currency returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
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Deviations from put-call parity and stock return predictability
Cremers, Martijn; Weinbaum, David - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 335-367
Persistent link: https://www.econbiz.de/10003990691
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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Good volatility, bad volatility, and option pricing
Feunou, Bruno; Okou, Cédric - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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Of smiles and smirks : a term structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
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Valuation of path-dependent contingent claims with multiple exercise decisions over time : the case of take-or-pay
Thompson, Andrew C. - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 2, pp. 271-293
Persistent link: https://www.econbiz.de/10001218104