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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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The cross section of recovery rates and default probabilities implied by credit default swap spreads
Elkamhi, Redouane; Jacobs, Kris; Pan, Xuhui - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 1, pp. 193-220
Persistent link: https://www.econbiz.de/10010408536
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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The determinants of credit default swap premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132
Persistent link: https://www.econbiz.de/10003854347
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A tractable framework for option pricing with dynamic market maker inventory and wealth
Fournier, Mathieu; Jacobs, Kris - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 4, pp. 1117-1162
Persistent link: https://www.econbiz.de/10012244210
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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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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
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The Determinants of Credit Default Swap Premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132
Persistent link: https://www.econbiz.de/10008255610
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Cultivating self-control in fintech : evidence from a field experiment on online consumer borrowing
Bu, Di; Hanspal, Tobin; Liao, Yin; Liu, Yong - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2208-2250
Persistent link: https://www.econbiz.de/10013367080