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The smirk in the S&P500 futures options prices : a linearized factor analysis
Carverhill, Andrew; Cheuk, Terry Hon Fu; Dyrting, Sigurd - In: Review of derivatives research 12 (2009) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10003874306
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112