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Barndorff-Nielsen, Ole E. - 2011

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …

Persistent link: https://www.econbiz.de/10013117444

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

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Generalized disappointment aversion, learning, and asset prices

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Bailey, Warren; Lin Zheng; Zhou, Yinggang - 2012

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Risk premium effects on implied volatility regressions

Rompolis, Leonidas S.; Tzavalis, Elias - In: The journal of financial research 33 (2010) 2, pp. 125-151

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Delta-hedged gains and the negative market volatility risk premium

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The pricing of catastrophe equity put options with default risk

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Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

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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

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Is there information in the volatility skew?

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