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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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The price of a smile : hedging and spanning in option markets
Buraschi, Andrea; Jackwerth, Jens Carsten - In: The review of financial studies 14 (2001) 2, pp. 495-527
Persistent link: https://www.econbiz.de/10001570577
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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
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Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F. - In: Review of derivatives research 1 (1996) 2, pp. 139-157
Persistent link: https://www.econbiz.de/10001218119
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
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Empirical performance of alternative option pricing models
Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2003-2049
Persistent link: https://www.econbiz.de/10001232333
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Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi; Lin, Yu-Cheng - In: Bulletin of applied economics 8 (2022) 1, pp. 121-148
Persistent link: https://www.econbiz.de/10013271045