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Implied filtering densities on the hidden state of stochastic volatility

Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522

Persistent link: https://www.econbiz.de/10010500874

Implied volatility of leveraged ETF options

Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188

Persistent link: https://www.econbiz.de/10010505139

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

Corporate credit risk prediction under stochastic volatility and jumps

Bu, Di; Liao, Yin - In: Journal of economic dynamics & control 47 (2014), pp. 263-281

Persistent link: https://www.econbiz.de/10010485852

The fine structure of equity-index option dynamics

Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546

Persistent link: https://www.econbiz.de/10011499756

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

Persistent link: https://www.econbiz.de/10011412294

Electricity price modelling with stochastic volatility and jumps : an empirical investigation

Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26

Persistent link: https://www.econbiz.de/10012873255

Assessing models of individual equity option prices

Bakshi, Gurdip S.; Cao, Charles Q.; Zhong, Zhaodong - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012549885