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Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence

Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012656907

Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity

Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120

Persistent link: https://www.econbiz.de/10012616833

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …

Persistent link: https://www.econbiz.de/10011483824

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …

Persistent link: https://www.econbiz.de/10011854876

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Risk factors and their associated risk premia : an empirical analysis of the crude oil market

Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63

Persistent link: https://www.econbiz.de/10011966706

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