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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
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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
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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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
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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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
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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
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Pricing and hedging long-term options
Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318
Persistent link: https://www.econbiz.de/10001437760