Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S&P 500 Options
Year of publication: |
November 2004
|
---|---|
Authors: | Santa-Clara, Pedro |
Other Persons: | Yan, Shu (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Volatilität | Volatility | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures |
Extent: | 1 Online-Ressource |
---|---|
Series: | NBER working paper series ; no. w10912 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w10912 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Volatility and the pricing kernel
Schreindorfer, David, (2022)
-
The role of the variance premium in Jump-GARCH option pricing models
Byun, Suk Joon, (2015)
-
Wu, Feng, (2015)
- More ...
-
Relative Pricing of Options with Stochastic Volatility
Ledoit, Olivier, (2002)
-
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
Santa-Clara, Pedro, (2004)
-
Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
Santa-Clara, Pedro, (2010)
- More ...