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Testing option pricing models with stochastic volatility, random jump and stochastic interest rate

Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272

Persistent link: https://www.econbiz.de/10002504517

Stochastic volatility and option pricing

Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007

Persistent link: https://www.econbiz.de/10003872887

Stochastic volatility and jump-diffusion : implications on option pricing

Jiang, George J. - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407

Persistent link: https://www.econbiz.de/10001438710

The model-free implied volatility and its information content

Jiang, George J.; Tian, Yisong Sam - In: The review of financial studies 18 (2005) 4, pp. 1305-1342

Persistent link: https://www.econbiz.de/10003352823

Extracting model-free volatility from option prices : an examination of the VIX index

Jiang, George J.; Tian, Yisong Sam - In: The journal of derivatives : the official publication … 14 (2007) 3, pp. 35-60

Persistent link: https://www.econbiz.de/10003447127

Misreaction or misspecification? : a re-examination of volatility anomalies

Jiang, George J.; Tian, Yisong Sam - In: Journal of banking & finance 34 (2010) 10, pp. 2358-2369

Persistent link: https://www.econbiz.de/10008857749

Forecasting volatility using long memory and comovements : an application to option valuation under SFAS 123R

Jiang, George J.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 503-533

Persistent link: https://www.econbiz.de/10003990715

Estimating latent variables and jump diffusion models using high-frequency data

Jiang, George J.; Oomen, Roel C. A. - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10003518278

Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market

Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551

Persistent link: https://www.econbiz.de/10009153191

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

Persistent link: https://www.econbiz.de/10011284060