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The volatility premium
Eraker, Bjørn - In: The quarterly journal of finance 11 (2021) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10012819501
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de/10012216375
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The role of jumps and options in the risk premia of interest rates
Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
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A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
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Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Non-diversifiable volatility risk and risk premiums at earnings announcements
Barth, Mary E.; So, Eric - In: The accounting review : a publication of the American … 89 (2014) 5, pp. 1579-1607
Persistent link: https://www.econbiz.de/10010428728
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Insurance guaranty premiums and exchange options
Lee, Hangsuck; Song, Seongjoo; Lee, Gaeun - In: Mathematics and financial economics 17 (2023) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10014226252
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Option pricing with state-dependent pricing kernel
Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978