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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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Mutual funds, price pressure, and index options
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 30-46
Persistent link: https://www.econbiz.de/10011687327
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Stein's overreaction puzzle : option anomaly or perfectly rational behavior?
Lehnert, Thorsten; Lin, Yuehao; Martelin, Nicolas - In: The journal of derivatives : the official publication … 23 (2016) 3, pp. 22-35
Persistent link: https://www.econbiz.de/10011687179
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Explaining Smiles: GARCH Option Pricing with Conditional Leptokurtosis and Skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2003) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10005936068