Narrow search
Showing 1 - 10 of 7,115
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Cover Image
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?
Pan, Ging-Ginq; Shiu, Yung-Ming; Wu, Tu-Cheng - In: Journal of financial markets 57 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013188762
Cover Image
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Cover Image
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - 2016
Persistent link: https://www.econbiz.de/10011799240
Cover Image
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
Cover Image
Skewed generalized error distribution of financial assets and option pricing
Theodossiou, Panayiotis - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 223-266
Persistent link: https://www.econbiz.de/10011434223
Cover Image
Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Cover Image
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels
Babaoglu, Kadir - 2017
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second volatility component improves the option fit by 9% on average. Fat tails improve option fit by …
Persistent link: https://www.econbiz.de/10012970627
Cover Image
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Finance research letters 28 (2019), pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Cover Image
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