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~person:"Heston, Steven L."
~subject:"Option pricing theory"
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Option pricing theory
Volatility
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Volatilität
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ARCH model
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Börsenkurs
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Optionspreistheorie
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Capital income
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Kapitaleinkommen
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fat tails
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jumps
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pricing kernel
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volatility components
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1996-2009
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Heston, Steven L.
Christoffersen, Peter F.
31
Jacobs, Kris
24
Ornthanalai, Chayawat
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Feunou, Bruno
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Jeon, Yoontae
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Babaoğlu, Kadir
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Chang, Bo Young
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Elkamhi, Redouane
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CREATES research paper
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Review of asset pricing studies
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The review of financial studies
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ECONIS (ZBW)
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
2
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
3
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
4
Option anomalies and the pricing kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161205
Saved in:
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