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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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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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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - In: Journal of financial economics 64 (2002) 3, pp. 341-372
Persistent link: https://www.econbiz.de/10001687813
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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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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An empirical examination of information, differences of opinion, and trading activity
Bessembinder, Hendrik - In: Journal of financial economics 40 (1996) 1, pp. 105-134
Persistent link: https://www.econbiz.de/10001192319
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The relation between implied and realized volatility
Christensen, Bent Jesper - In: Journal of financial economics 50 (1998) 2, pp. 125-150
Persistent link: https://www.econbiz.de/10001250560
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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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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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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