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Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 83 (2007) 2, pp. 413-452
Persistent link: https://www.econbiz.de/10003425468
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Pricing American options under stochastic volatility and stochastic interest rates
Medvedev, Alexey; Scaillet, Olivier - In: Journal of financial economics 98 (2010) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10008702738
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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Valuation of VIX derivatives
Mencía, Javier; Sentana, Enrique - In: Journal of financial economics 108 (2013) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
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U.S. stock market crash risk, 1926–2010
Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
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Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
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Realizing smiles : options pricing with relized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313