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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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The pricing of jump propagation : evidence from spot and options markets
Du, Du; Luo, Dan - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2360-2387
Persistent link: https://www.econbiz.de/10012039789
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Unspanned stochastic volatility in affine models : evidence from eurodollar futures and options
Bikbov, Ruslan; Chernov, Mikhail - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1292-1305
Persistent link: https://www.econbiz.de/10003885380
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Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin; Jarrow, Robert A. - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
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Time-varying skew in vix derivatives pricing
Yuan, Peixuan - In: Management science : journal of the Institute for … 68 (2022) 10, pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Option prices in a model with stochastic disaster risk
Seo, Sang Byung; Wachter, Jessica - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3449-3469
Persistent link: https://www.econbiz.de/10012062624
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Understanding the sources of risk underlying the cross section of commodity returns
Bakshi, Gurdip S.; Gao, Xiaohui; Rossi, Alberto - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 619-641
Persistent link: https://www.econbiz.de/10012000721
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665