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~person:"Jacobs, Kris"
~subject:"Option pricing theory"
~type_genre:"Advisory report"
~type_genre:"Article in journal"
~type_genre:"Forschungsbericht"
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Option pricing theory
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Jacobs, Kris
Madan, Dilip B.
50
Carr, Peter
45
Fabozzi, Frank J.
35
Elliott, Robert J.
34
Kwok, Yue-Kuen
34
Wang, Xingchun
32
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31
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30
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29
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27
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26
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24
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23
Kim, Young Shin
21
Račev, Svetlozar T.
21
Stentoft, Lars
21
Escobar, Marcos
20
Levendorskij, Sergej Z.
20
Wong, Hoi Ying
20
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19
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19
Zanette, Antonino
19
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18
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17
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17
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16
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16
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16
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16
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16
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15
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15
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15
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15
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14
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14
Câmara, António
14
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14
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Journal of financial economics
4
The review of financial studies
4
Journal of financial and quantitative analysis : JFQA
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Review of asset pricing studies
1
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
15
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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