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Derivative pricing
4
incomplete markets
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index options
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stochastic dominance bounds
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volatility smile
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transaction costs
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risk-neutral distribution
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derivatives pricing
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market efficiency
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Jackwerth, Jens Carsten
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Constantinaides, George M.
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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1
Are options on index futures profitable for risk averse investors? Empirical evidence
Jackwerth, Jens Carsten
;
Constantinides, George M.
; …
-
2008
American call and put options on the S&P 500 index futures that violate the
stochastic
dominance
bounds of …
Persistent link: https://www.econbiz.de/10010266920
Saved in:
2
Modelling and forecasting multivariate realized volatility
Chiriac, Roxana
;
Voev, Valeri
-
2008
by means of
stochastic
dominance
tests that the returns from an optimal portfolio based on the model's forecasts second …
Persistent link: https://www.econbiz.de/10010266934
Saved in:
3
Mispricing of S&P 500 index options
Constantinides, George M.
;
Jackwerth, Jens Carsten
; …
-
2005
We document widespread violations of
stochastic
dominance
in the one-month S&P 500 index options market over the period …
Persistent link: https://www.econbiz.de/10010266937
Saved in:
4
Option pricing: Real and risk-neutral distributions
Constantinides, George M.
;
Jackwerth, Jens Carsten
; …
-
2005
Persistent link: https://www.econbiz.de/10010266945
Saved in:
5
Mispricing of S&P 500 Index Options
Jackwerth, Jens Carsten
;
Constantinaides, George M.
; …
-
Zentrum für Finanzen und Ökonometrie, Fachbereich …
-
2005
We document widespread violations of
stochastic
dominance
in the one-month S&P 500 index options market over the period …
Persistent link: https://www.econbiz.de/10005357896
Saved in:
6
Option Pricing: Real and Risk-Neutral Distributions
Jackwerth, Jens Carsten
;
Constantinaides, George M.
; …
-
Zentrum für Finanzen und Ökonometrie, Fachbereich …
-
2005
Persistent link: https://www.econbiz.de/10005741234
Saved in:
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