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Does risk-neutral skewness predict the cross section of equity option portfolio returns?
Bali, Turan G.; Murray, Scott - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1145-1171
Persistent link: https://www.econbiz.de/10010255208
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Volatility and expected option returns
Hu, Guanglian; Jacobs, Kris - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 3, pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
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Informed trading in the stock market and option-price discovery
Collin-Dufresne, Pierre; Fos, Vyacheslav; Muravyev, Dmitry - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 6, pp. 1945-1984
Persistent link: https://www.econbiz.de/10012618498
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Good volatility, bad volatility, and option pricing
Feunou, Bruno; Okou, Cédric - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
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Discontinuous interest rate processes : an equilibrium model for bond option prices
Attari, Mukarram - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001453389
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Pricing lookback and barrier options under the CEV process
Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264
Persistent link: https://www.econbiz.de/10001436318
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Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
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Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10001243204
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Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
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A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 423-440
Persistent link: https://www.econbiz.de/10001251496