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121
The pricing of idiosyncratic risk : evidence from the implied
volatility
distribution
Süss, Stephan
- In:
Financial markets and portfolio management
26
(
2012
)
2
,
pp. 247-267
Persistent link: https://www.econbiz.de/10009553644
Saved in:
122
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
Saved in:
123
Analytically tractable stochastic stock price models
Gulisashvili, Archil
-
2012
Persistent link: https://www.econbiz.de/10009623216
Saved in:
124
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
125
What does implied
volatility
skew measure?
Mixon, Scott
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 9-25
Persistent link: https://www.econbiz.de/10009229670
Saved in:
126
Probability distribution and option pricing for drawdown in a stochastic
volatility
environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
127
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
Saved in:
128
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
129
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
130
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik
- In:
Journal of economic dynamics & control
37
(
2013
)
3
,
pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
Saved in:
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