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Option pricing theory
46
Optionspreistheorie
46
Volatility
38
Volatilität
36
Risikoprämie
33
Risk premium
33
Theorie
31
Theory
31
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GARCH
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Free
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English
148
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French
4
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Jacobs, Kris
235
Christoffersen, Peter
96
Christoffersen, Peter F.
48
Ornthanalai, Chayawat
21
Heston, Steven L.
15
Feunou, Bruno
14
Doshi, Hitesh
13
Karoui, Lotfi
13
Langlois, Hugues
13
Chang, Bo Young
12
Elkamhi, Redouane
12
Fournier, Mathieu
12
Jin, Xisong
12
Dorion, Christian
11
Wang, Yintian
11
Ericsson, Jan
10
Mimouni, Karim
10
Errunza, Vihang R.
9
Ham, John C
9
Robe, Michel A.
9
Karoui, Mehdi
8
Vainberg, Gregory
7
Errunza, Vihang
6
Meddahi, Nour
6
Amaya, Diego
5
Duan, Jin-Chuan
5
Goyenko, Ruslan
5
Hu, Guanglian
5
Li, Bingxin
5
Li, Xiaofei
5
Liu, Rui
5
Pallage, Stephane
5
Vasquez, Aurelio
5
Oviedo, Rodolfo
4
Turnbull, Stuart M.
4
Wang, Kevin Q.
4
Garcia, René
3
Heston, Steve
3
Heston, Steven
3
Orłowski, Piotr
3
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School of Economics and Management, University of Aarhus
16
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
15
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Bank of Canada
1
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1
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1
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CREATES Research Papers
16
CIRANO Working Papers
15
Journal of financial economics
14
The review of financial studies
14
CREATES research paper
12
Rotman School of Management Working Paper
8
Working papers / Financial Institutions Center
8
Journal of financial and quantitative analysis : JFQA
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Review of Financial Studies
6
Journal of Financial Economics
5
The journal of finance : the journal of the American Finance Association
5
CREATES Research Paper
4
Journal of banking & finance
4
Journal of Financial and Quantitative Analysis
3
Journal of empirical finance
3
Management Science
3
Review of Economic Studies
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Cahiers de recherche
2
Journal of Business & Economic Statistics
2
Journal of Finance
2
Journal of Labor Economics
2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of monetary economics
2
Review of asset pricing studies
2
Review of finance : journal of the European Finance Association
2
AFA 2011 Denver Meetings Paper
1
AFA 2013 San Diego Meetings Paper
1
AFA 2016 Meetings Paper Forthcoming, Review of Financial Studies
1
American Economic Review
1
Bank of Canada Working Paper
1
Computing in Economics and Finance 2005
1
EFA 2007 Ljubljana Meetings
1
EFA 2007 Ljubljana Meetings Paper
1
EFA 2008 Athens Meetings Paper
1
Econometric Society World Congress 2000 Contributed Papers
1
Econometrica
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ECONIS (ZBW)
146
RePEc
73
OLC EcoSci
25
EconStor
1
Other ZBW resources
1
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21
Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Mimouni, Karim
-
2008
Persistent link: https://www.econbiz.de/10003861277
Saved in:
22
Nonlinear filtering in affine term structure models : evidence from the term structure of swap rates
Christoffersen, Peter F.
;
Jacobs, Kris
;
Karoui, Lofti
; …
-
2008
Persistent link: https://www.econbiz.de/10003861281
Saved in:
23
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2009
Persistent link: https://www.econbiz.de/10003865680
Saved in:
24
The determinants of credit default swap premia
Ericsson, Jan
;
Jacobs, Kris
;
Oviedo, Rodolfo
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
1
,
pp. 109-132
Persistent link: https://www.econbiz.de/10003854347
Saved in:
25
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
26
Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.
;
Elkamhi, Redouane
;
Feunou, Bruno
- In:
The review of financial studies
23
(
2010
)
5
,
pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117
Saved in:
27
Volatility components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
Saved in:
28
Is the potential for international diversification disappearing?
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161197
Saved in:
29
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
30
Market skewness risk and the cross-section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161204
Saved in:
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