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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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Dampened power law : reconciling the tail behavior of financial security returns
Wu, Liuren - In: The journal of business : B 79 (2006) 3, pp. 1445-1475
Persistent link: https://www.econbiz.de/10003337016
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Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008
Persistent link: https://www.econbiz.de/10003861266
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Empirical pricing kernels obtained from the UK index options market
Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993
Persistent link: https://www.econbiz.de/10003886597
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Understanding index option returns
Broadie, Marc; Chernov, Mikhail; Johannes, Michael - In: The review of financial studies 22 (2009) 11, pp. 4493-4529
Persistent link: https://www.econbiz.de/10003896324
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Cross-section of option returns and volatility
Goyal, Amit; Saretto, Alessio - In: Journal of financial economics 94 (2009) 2, pp. 310-326
Persistent link: https://www.econbiz.de/10003906353
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Levy processes : theory and financial applications
Raccuglia, Benedetto - 2006
Persistent link: https://www.econbiz.de/10003413591
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Understanding index option returns
Broadie, Mark; Chernov, Mikhail; Johannes, Michael - 2007
Persistent link: https://www.econbiz.de/10003473633
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Asset pricing in the early twentieth century
Moore, Lyndon C. - 2006
Persistent link: https://www.econbiz.de/10003908181
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Inferring changing macroeconomic expectations from current financial indicators
Ratcliff, Ryan David - 2005
Persistent link: https://www.econbiz.de/10003909239