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Lévy processes induced by diri...
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Shanken, Jay
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Chordia, Tarun
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Journal of financial economics
Journal of econometrics
951
European journal of operational research : EJOR
824
Economics letters
662
International journal of theoretical and applied finance
657
NBER working paper series
637
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1
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
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2
Price and volatility co-jumps
Bandi, F. M.
;
Renò, Roberto
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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3
Stochastic skew in currency options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
86
(
2007
)
1
,
pp. 213-247
Persistent link: https://www.econbiz.de/10003546310
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4
Advancing the universality of quadrature methods to any underlying process for option pricing
Chen, Ding
;
Härkönen, Hannu J.
;
Newton, David P.
- In:
Journal of financial economics
114
(
2014
)
3
,
pp. 600-612
Persistent link: https://www.econbiz.de/10010532686
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5
A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland
;
Geweke, John
;
Ghosh, Pulak
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
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6
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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7
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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8
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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9
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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10
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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