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Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

Bayesian DEJD model and detection of asymmetry in jump sizes

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70

Persistent link: https://www.econbiz.de/10011305742

Revisiting variance gamma pricing : an application to S&P500 index options

Mozumder, Sharif; Sorwar, Ghulam; Dowd, Kevin - In: International journal of financial engineering 2 (2015) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10011333422

Option pricing with a dynamic fat-tailed model

Aboura, Sofiane; Valeyre, Sebastien; Wagner, Niklas F. - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 131-155

Persistent link: https://www.econbiz.de/10010462976

Deriving option-implied probability densities for foreign exchange markets

Blake, Andrew P.; Rule, Garreth - 2015

Persistent link: https://www.econbiz.de/10011289967

Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market

Yen, Yu-min - In: International review of economics & finance : IREF 62 (2019), pp. 240-266

Persistent link: https://www.econbiz.de/10012205548

A non-structural investigation of VIX risk neutral density

Barletta, Andrea; Santucci de Magistris, Paolo; … - In: Journal of banking & finance 99 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012162287

Option pricing with heavy-tailed distributions of logarithmic returns

Basnarkov, Lasko; Stojkoski, Viktor; Utkovski, Zoran; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-35

Persistent link: https://www.econbiz.de/10012153313

Extreme at-the-money skew in a local volatility model

Pigato, Paolo - In: Finance and stochastics 23 (2019) 4, pp. 827-859

Persistent link: https://www.econbiz.de/10012114660

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