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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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Optimizing bounds on security prices in incomplete markets : does stochastic volatility specification matter?
Marroquín-Martínez, Naroa; Moreno, Manuel - In: European journal of operational research : EJOR 225 (2013) 3, pp. 429-442
Persistent link: https://www.econbiz.de/10009706918
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Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
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Realizing smiles : options pricing with relized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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Empirical performance of alternative option pricing models with stochastic volatility and leverage effects
Jang, Woon Wook; Eom, Young Ho; Kim, Don H. - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 432-464
Persistent link: https://www.econbiz.de/10010408040