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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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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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Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility
Gong, Xiao-Li; Lu, Jin-Yan; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 8 (2022), pp. 1-22
introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate …
Persistent link: https://www.econbiz.de/10013272633
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Tractable hedging with additional hedge instruments
Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
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Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20
extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …
Persistent link: https://www.econbiz.de/10012422987
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - In: Risks : open access journal 8 (2020) 4/124, pp. 1-27
were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …
Persistent link: https://www.econbiz.de/10012390928
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Option pricing under market maker's inventory risk : a case study of China
Deng, Zhijian; Yao, Yuhang - In: Finance research letters 66 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10015057717
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549