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1
Jumps and stochastic
volatility
: exchange rate processes implicit in PHLX Deutschemark options
Bates, David S.
-
1993
Persistent link: https://www.econbiz.de/10000884445
Saved in:
2
Post-'87 crash fears in S&P 500 futures options
Bates, David S.
-
1997
Persistent link: https://www.econbiz.de/10000619727
Saved in:
3
Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell
;
Pan, Jun
;
Singleton, Kenneth J.
-
1999
Persistent link: https://www.econbiz.de/10001388790
Saved in:
4
Option prices in a model with stochastic disaster risk
Seo, Sang Byung
;
Wachter, Jessica
-
2013
Persistent link: https://www.econbiz.de/10010210684
Saved in:
5
Index-option pricing with stochastic
volatility
and the value of accurate variance forecasts
Engle, Robert F.
;
Kane, Alex
;
Noh, Jaesun
-
1993
Persistent link: https://www.econbiz.de/10000886028
Saved in:
6
Implied
volatility
functions : empirical tests
Dumas, Bernard
;
Fleming, Jeff
;
Whaley, Robert E.
-
1996
Persistent link: https://www.econbiz.de/10000584825
Saved in:
7
Jump and
volatility
risk and risk premia : a new model and lessons from S&P 500 options
Santa-Clara, Pedro
;
Yan, Shu
-
2004
Persistent link: https://www.econbiz.de/10002485074
Saved in:
8
Unspanned stochastic
volatility
and the pricing of commodity derivatives
Trolle, Anders B.
;
Schwartz, Eduardo S.
-
2006
Persistent link: https://www.econbiz.de/10003399801
Saved in:
9
Construction and interpretation of model-free implied
volatility
Andersen, Torben
;
Bondarenko, Oleg
-
2007
Persistent link: https://www.econbiz.de/10003556632
Saved in:
10
Hedging options in GARCH environment : testing the term structure of stochastic
volatility
models
Engle, Robert F.
;
Rosenberg, Joshua V.
-
1994
Persistent link: https://www.econbiz.de/10000147446
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