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Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Bakshi, Gurdip; Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 87 (2008) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10005376779

Spanning and derivative-security valuation

Bakshi, Gurdip; Madan, Dilip - In: Journal of Financial Economics 55 (2000) 2, pp. 205-238

Persistent link: https://www.econbiz.de/10005210587

Stock valuation in dynamic economies

Bakshi, Gurdip; Chen, Zhiwu - In: Journal of Financial Markets 8 (2005) 2, pp. 111-151

Persistent link: https://www.econbiz.de/10005320005

A Theory of Volatility Spreads

Bakshi, Gurdip; Madan, Dilip - In: Management science : journal of the Institute for … 52 (2006) 12, pp. 1945-1956

Persistent link: https://www.econbiz.de/10007396016

Estimation of continuous-time models with an application to equity volatility dynamics

Bakshi, Gurdip; Ju, Nengjiu; Ou-Yang, Hui - In: Journal of financial economics 82 (2006) 1, pp. 227

Persistent link: https://www.econbiz.de/10007279855

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Bakshi, Gurdip; Madan, Dilip; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1988

Persistent link: https://www.econbiz.de/10007293316

Empirical Performance of Alternative Option Pricing Models

Bakshi, Gurdip; Cao, Charles; Chen, Zhiwu - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2003-2050

Persistent link: https://www.econbiz.de/10007363500

The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

Bakshi, Gurdip; Wu, Liuren - In: Management Science 56 (2010) 12, pp. 2251-2264

We exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of...

Persistent link: https://www.econbiz.de/10009218179

Volatility Risk Premiums Embedded in Individual Equity Options

Bakshi, Gurdip; Kapadia, Nikunj - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 45-54

Persistent link: https://www.econbiz.de/10005932632

A Refinement to Ai͏̈t-Sahalia's (2002) "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach"

Bakshi, Gurdip; Ju, Nengjiu - In: The journal of business : B 78 (2005) 5, pp. 2037

Persistent link: https://www.econbiz.de/10006012914