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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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Explaining the correlation smile using variance gamma distributions
Moosbrucker, Thomas - In: The journal of fixed income 16 (2006) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10003376596
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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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
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Implications for asset returns in the implied volatility skew
Doran, James S.; Krieger, Kevin - In: Financial analysts' journal : FAJ 66 (2010) 1, pp. 65-76
Persistent link: https://www.econbiz.de/10003952065
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Recovering risk-neutral densities from exchange rate options : evidence in Turkey
Aydin, Halil Ibrahim; Değ̆erli, Ahmet; Özlü, Pınar - 2010
Persistent link: https://www.econbiz.de/10003956043
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008
Persistent link: https://www.econbiz.de/10003680543
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Smoothly truncated stable distributions, GARCH-models, and option pricing
Menn, Christian; Račev, Svetlozar T. - In: Mathematical methods of operations research 69 (2009) 3, pp. 411-438
Persistent link: https://www.econbiz.de/10003858257
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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
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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