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Missing parameters in option prices

Heston, Steven L. - 1992

Persistent link: https://www.econbiz.de/10000912009

Preference-free option pricing with path-dependent volatility : a clsosed-form approach

Heston, Steven L.; Nandi, Saikat - 1999

Persistent link: https://www.econbiz.de/10001408069

Reward-risk momentum strategies using classical tempered stable distribution

Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213

Persistent link: https://www.econbiz.de/10011543976

Tempered stable process, first passage time, and path-dependent option pricing

Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215

Persistent link: https://www.econbiz.de/10011993461

Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231

Persistent link: https://www.econbiz.de/10012002169

Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

Persistent link: https://www.econbiz.de/10011398641

Option pricing under stochastic volatility and tempered stable Lévy jumps

Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International review of financial analysis 31 (2014), pp. 101-108

Persistent link: https://www.econbiz.de/10010461532

Option momentum

Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - In: The journal of finance : the journal of the American … 78 (2023) 6, pp. 3141-3192

Persistent link: https://www.econbiz.de/10014437686

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Babaoglu, Kadir - 2017

We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most...

Persistent link: https://www.econbiz.de/10012970627

Preference-Free Option Pricing with Path-Dependent Volatility : A Closed-Form Approach

Heston, Steven L. - 2015

This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete-time GARCH model of Heston and Nandi (1997) that allows...

Persistent link: https://www.econbiz.de/10013032155