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51
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
Saved in:
52
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
Saved in:
53
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
Saved in:
54
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:
55
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
Saved in:
56
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
Saved in:
57
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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58
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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59
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:
60
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
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