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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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The importance of the loss function in option valuation
Christoffersen, Peter F.; Jacobs, Kris - In: Journal of financial economics 72 (2004) 2, pp. 291-318
Persistent link: https://www.econbiz.de/10002033587
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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
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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
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The factor structure in equity options
Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - In: The review of financial studies 31 (2018) 2, pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
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Volatility and expected option returns
Hu, Guanglian; Jacobs, Kris - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 3, pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
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Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - In: The journal of finance : the journal of the American … 79 (2024) 3, pp. 2289-2338
Persistent link: https://www.econbiz.de/10014535668
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Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117