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Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009561745
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Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data
Kim, Sol; Lee, Geul - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 403-432
Persistent link: https://www.econbiz.de/10009388576
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Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
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Series expansion of the SABR joint density
Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
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Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10009614494
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Numerics of implied binomial trees
Härdle, Wolfgang; Mysicková, Alena - In: Applied quantitative finance, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003746028
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Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753