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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...
Persistent link: https://www.econbiz.de/10003747325
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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242
Persistent link: https://www.econbiz.de/10003765155
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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Realizing smiles: pricing options with realized volatility
Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010
measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …
Persistent link: https://www.econbiz.de/10003973052
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Spanning tests for options using principal components methods
Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746
Persistent link: https://www.econbiz.de/10003491227
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On computing complete distributions for American and European standard and exotic options on stocks paying discrete dividends with applications to stochastic dominance analysis
Hodges, Paul E.; Haensly, Paul J.; Theis, John - In: Quarterly journal of business and economics : QJBE 46 (2007) 3, pp. 45-64
Persistent link: https://www.econbiz.de/10003547145
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Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility
Medvedev, Alexey; Scaillet, Olivier - In: The review of financial studies 20 (2007) 2, pp. 427-459
Persistent link: https://www.econbiz.de/10003554444