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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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Default risk and option returns
Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
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The information content of OTC individual put option implied volatility for credit default swap spreads
Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516
Persistent link: https://www.econbiz.de/10009618798
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GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013
of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …
Persistent link: https://www.econbiz.de/10010256394
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074