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Anticipating Jumps : Decomposition of Straddle Prices

Chen, Bei; Gan, Quan; Vasquez, Aurelio - 2022

We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The …. We use the straddle decomposition to analyze the volatility risk premium and the jump risk premium embedded in a straddle … volatility risk portfolio persistently generates positive returns during earnings announcement periods …

Persistent link: https://www.econbiz.de/10013314070

The continuous limit of weak GARCH

Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216

Persistent link: https://www.econbiz.de/10012483807

Fractional stochastic volatility correction to CEV implied volatility

Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574

Persistent link: https://www.econbiz.de/10012483839

Price discontinuities in the market for RINs

Mason, Charles F.; Wilmot, Neil A. - In: Journal of economic behavior & organization : JEBO 132 (2016) 2, pp. 79-97

Persistent link: https://www.econbiz.de/10011702997

Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667

Persistent link: https://www.econbiz.de/10012016532

The pricing of jump propagation : evidence from spot and options markets

Du, Du; Luo, Dan - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2360-2387

Persistent link: https://www.econbiz.de/10012039789

Pricing volatility options under stochastic skew with application to the VIX index

Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374

Persistent link: https://www.econbiz.de/10011736265

Corporate bond pricing model with stochastically volatile firm value process

Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44

Persistent link: https://www.econbiz.de/10011619792

Affine Heston model style with self-exciting jumps and long memory

Leunga, Charles Guy Njike; Hainaut, Donatien - In: Annals of finance 20 (2024) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10014566365

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

Persistent link: https://www.econbiz.de/10012174118