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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Option pricing with regime switching tempered stable processes
Lin, Zuodong; Račev, Svetlozar T.; Kim, Young Shin; … - 2012
distributions that are well documented in financial markets such as time-varying volatility, skewness, and heavy tails.We will …
Persistent link: https://www.econbiz.de/10009576324
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
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Do call prices and the underlying stock always move in the same direction?
Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: The review of financial studies 13 (2000) 3, pp. 549-584
Persistent link: https://www.econbiz.de/10001499744
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A closed-form GARCH option valuation model
Heston, Steven L.; Nandi, Saikat - In: The review of financial studies 13 (2000) 3, pp. 585-625
Persistent link: https://www.econbiz.de/10001499745
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Expected option returns
Coval, Joshua; Shumway, Tyler - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
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Maximum entropy in option pricing : a convex-spline smoothing method
Guo, Weiyu - In: The journal of futures markets 21 (2001) 9, pp. 819-832
Persistent link: https://www.econbiz.de/10001595306
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No-arbitrage option pricing : new evidence on the validity of the martingale property
Brenner, Menachem; Eom, Young Ho - 1997
Persistent link: https://www.econbiz.de/10001442896