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Comparison of utility indifference pricing and mean-variance approach under normal mixture

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229

Persistent link: https://www.econbiz.de/10011982579

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

A note on utility indifference pricing

Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10011572373

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

Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

Persistent link: https://www.econbiz.de/10011398641

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Babaoglu, Kadir - 2017

We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second volatility component improves the option fit by 9% on average. Fat tails improve option fit by …

Persistent link: https://www.econbiz.de/10012970627

Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231

Persistent link: https://www.econbiz.de/10012002169

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

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

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