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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

A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"

Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214

Persistent link: https://www.econbiz.de/10011327221

Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices

Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - In: The review of financial studies 23 (2010) 8, pp. 3141-3189

Persistent link: https://www.econbiz.de/10008662052

The economic value of realized volatility : using high-frequency returns for option valuation

Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...

Persistent link: https://www.econbiz.de/10009627514

Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010

Persistent link: https://www.econbiz.de/10009161203

Exploring time-varying jump intensities : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008

Persistent link: https://www.econbiz.de/10003861266