Narrow search
Showing 1 - 10 of 93
Cover Image
A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Cover Image
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Cover Image
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Cover Image
Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Cover Image
Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Cover Image
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho - In: Journal of econometrics 192 (2016) 1, pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Cover Image
Bayesian analysis of contingent claim model error
Jacquier, Eric; Jarrow, Robert A. - In: Journal of econometrics 94 (2000) 1/2, pp. 145-180
Persistent link: https://www.econbiz.de/10001437752
Cover Image
Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - In: Journal of econometrics 116 (2003) 1/2, pp. 49-83
Persistent link: https://www.econbiz.de/10001772141
Cover Image
Regime switching in foreign exchange rates : evidence from currency option prices
Bollen, Nicolas P. B.; Gray, Stephen; Whaley, Robert E. - In: Journal of econometrics 94 (2000) 1/2, pp. 239-276
Persistent link: https://www.econbiz.de/10001437758
Cover Image
Bias reduction in spot volatility estimation from options
Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81
Persistent link: https://www.econbiz.de/10014364661