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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

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martin-gale measure. Our...

Persistent link: https://www.econbiz.de/10014205559

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 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