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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

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

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

Persistent link: https://www.econbiz.de/10011507774

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

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

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

Persistent link: https://www.econbiz.de/10011378591

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

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

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

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