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Journal of risk and financial management : JRFM
NBER working paper series
970
Working paper / National Bureau of Economic Research, Inc.
886
Finance research letters
884
European journal of operational research : EJOR
826
Journal of banking & finance
814
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648
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626
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606
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572
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554
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536
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515
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484
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463
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457
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331
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324
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322
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Research paper series / Swiss Finance Institute
295
Management science : journal of the Institute for Operations Research and the Management Sciences
294
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ECONIS (ZBW)
304
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1
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting
jump
-diffusion model and … stock selection and trading framework identifies overnight price gaps based on an advanced
jump
test procedure and exploits …
Persistent link: https://www.econbiz.de/10012022240
Saved in:
2
The Generalized Gamma distribution as a useful RND under Heston's stochastic
volatility
model
Boukai, Benzion
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
6
,
pp. 1-18
options prices under Heston's stochastic
volatility
(SV) model. We demonstrate that under a particular reparametrization, this …
volatility
'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the
volatility
'smile' appears not to exist in the TLT option data. We provide …
Persistent link: https://www.econbiz.de/10013273577
Saved in:
3
A Bayesian semiparametric realized stochastic
volatility
model
Liu, Jia
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
12
,
pp. 1-22
This paper proposes a semiparametric realized stochastic
volatility
model by integrating the parametric stochastic …
volatility
model utilizing realized
volatility
information and the Bayesian nonparametric framework. The flexible framework … returns and logarithmic realized
volatility
but also enables flexible adjustments for estimation bias in realized
volatility
…
Persistent link: https://www.econbiz.de/10012800257
Saved in:
4
How much do negative probabilities matter in option pricing? : a case of a lattice-based approach for stochastic
volatility
models
Tseng, Chung-Li
;
Miao, Daniel Wei-Chung
;
Chung, San-Lin
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
6
,
pp. 1-32
be achieved by adjusting a lattice’s configuration (e.g., grid sizes and
jump
patterns). Using this framework as a …
Persistent link: https://www.econbiz.de/10012587779
Saved in:
5
Sample path generation of the stochastic
volatility
CGMY process and its application to path-dependent option pricing
Kim, Young Shin
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
2/77
,
pp. 1-18
This paper proposes the sample path generation method for the stochastic
volatility
version of the CGMY process. We …
Persistent link: https://www.econbiz.de/10012484130
Saved in:
6
Pricing European options under stochastic
volatility
models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ),
volatility
(σ), shape (α … five-parameter VG model is a stochastic
volatility
model with a Γ(α,θ) Ornstein-Uhlenbeck type process; the associated Lévy …
Persistent link: https://www.econbiz.de/10014288862
Saved in:
7
GARCH option pricing models and the variance risk premium
Zhang, WenJun
;
Zhang, Jin E.
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
3/51
,
pp. 1-21
one-month variance swap rate, i.e., the CBOE
Volatility
Index (VIX) accurately. Our research suggests that one should use …
Persistent link: https://www.econbiz.de/10012174118
Saved in:
8
Computational finance
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
7/145
,
pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and
volatility
, and on the use …
Persistent link: https://www.econbiz.de/10012309311
Saved in:
9
Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang
;
Escobar, Marcos
;
Gong, Zhenxian
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
4/159
,
pp. 121
implied
volatility
surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …
Persistent link: https://www.econbiz.de/10012172988
Saved in:
10
Maximum entropy evaluation of asymptotic hedging error under a generalised
jump
-diffusion model
Fard, Farzad Alavi
;
Doko Tchatoka, Firmin
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3/97
,
pp. 1-19
derive the asymptotic hedging error for options under a generalised
jump
-diffusion model with kernel bias, which nests a …
Persistent link: https://www.econbiz.de/10012484861
Saved in:
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