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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
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Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Kolliopoulos, Nikolaos - 2018
Persistent link: https://www.econbiz.de/10012386950
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Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
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The Heston Stochastic Volatility Model for Single Assets and for Asset Portfolios : Parameter Estimation and an Application to the Italian Financial Market
Ballestra, Luca Vincenzo - 2010
We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of …
Persistent link: https://www.econbiz.de/10013148476
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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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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
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Assessing models of individual equity option prices
Bakshi, Gurdip S.; Cao, Charles Q.; Zhong, Zhaodong - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
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A note on Stein's overreaction puzzle
Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276
Persistent link: https://www.econbiz.de/10012285399