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Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232

Persistent link: https://www.econbiz.de/10011637138

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - 2016

Persistent link: https://www.econbiz.de/10011799240

Option pricing with dynamic conditional skewness

Liang, Fang; Du, Lingshan - In: The journal of futures markets 44 (2024) 7, pp. 1154-1188

Persistent link: https://www.econbiz.de/10014553957

Modeling exchange rate volatility : application of GARCH models with a Normal Tempered Stable distribution

Charfi, Sahar; Mselmi, Farouk - In: Quantitative finance and economics 6 (2022) 2, pp. 206-222

Persistent link: https://www.econbiz.de/10013498930

Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing

Mozumder, Sharif; Talukdar, Bakhtear; Kabir, M. Humayun; … - In: Review of quantitative finance and accounting 62 (2024) 1, pp. 97-133

Persistent link: https://www.econbiz.de/10014502965

A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes

Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246

Persistent link: https://www.econbiz.de/10011543918

An expanded Local Variance Gamma model

Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987

Persistent link: https://www.econbiz.de/10012543243

American option pricing using GARCH models and the normal inverse Gaussian distribution

Stentoft, Lars - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 540-582

Persistent link: https://www.econbiz.de/10003778987

Is the price kernel monotone?

Barone-Adesi, Giovanni; Dall'O, Hakim - 2010

We provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and Litzenberger (1978) and the historical density adapting the GARCH model of Barone-Adesi, Engle, and...

Persistent link: https://www.econbiz.de/10003973040

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