Similar Search Results

Is long memory necessary? : an empirical investigation of nonnegative interest rate processes

Duan, Jin-Chuan; Jacobs, Kris - In: Journal of empirical finance 15 (2008) 3, pp. 567-581

Persistent link: https://www.econbiz.de/10003759664

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

Conditional volatility in affine term-structure models : evidence from Treasury and swap markets

Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318

Persistent link: https://www.econbiz.de/10003833577

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

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

Correlation dynamics and international diversification benefits

Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - In: International journal of forecasting 30 (2014) 3, pp. 807-824

Persistent link: https://www.econbiz.de/10010516049

GARCH option valuation : theory and evidence

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2012

Persistent link: https://www.econbiz.de/10009667377

GARCH option valuation : theory and evidence

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 8-41

Persistent link: https://www.econbiz.de/10010358127

Option valuation with conditional skewness

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: Journal of econometrics 131 (2006) 1/2, pp. 253-284

Persistent link: https://www.econbiz.de/10003298580

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

Christoffersen, Peter - 2012

We develop a GARCH option model with a variance premium by combining the Heston-Nandi (2000) dynamic with a new pricing kernel that nests Rubinstein (1976) and Brennan (1979). While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is...

Persistent link: https://www.econbiz.de/10013116459