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The state price density implied by crude oil futures and option prices

Christoffersen, Peter F.; Jacobs, Kris; Pan, Xuhui - In: The review of financial studies 35 (2022) 2, pp. 1064-1103

Persistent link: https://www.econbiz.de/10012878983

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

The factor structure in equity options

Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - In: The review of financial studies 31 (2018) 2, pp. 595-637

Persistent link: https://www.econbiz.de/10011925246

Illiquidity premia in the equity options market

Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - In: The review of financial studies 31 (2018) 3, pp. 811-851

Persistent link: https://www.econbiz.de/10011925271

Dynamic dependence and diversification in corporate credit

Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 521-560

Persistent link: https://www.econbiz.de/10011990811

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

Option-based estimation of the price of coskewness and cokurtosis risk

Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 1, pp. 65-91

Persistent link: https://www.econbiz.de/10012437371

Option valuation with observable volatility and jump dynamics

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - In: Journal of banking & finance 61 (2015) 2, pp. 101-120

Persistent link: https://www.econbiz.de/10011585489

Time-varying crash risk embedded in index options : the role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - In: Review of finance : journal of the European Finance … 25 (2021) 4, pp. 1261-1298

Persistent link: https://www.econbiz.de/10012594641

Option Valuation with Conditional Heteroskedasticity and Nonnormality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - In: Review of Financial Studies 23 (2010) 5, pp. 2139-2183

We provide results for the valuation of European-style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state space setup using the no-arbitrage principle and an equivalent martingale measure (EMM)....

Persistent link: https://www.econbiz.de/10008458898