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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - 2008
Persistent link: https://www.econbiz.de/10008663229
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Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632920
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632930
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Of smiles and smirks : a term-structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998
Persistent link: https://www.econbiz.de/10000981147
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When are options overpriced? : The Black-Scholes model and alternative characteristics of the pricing kernel
Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999
Persistent link: https://www.econbiz.de/10001378810
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Assessing the incremental value of option pricing theory relative to an "informationally passive" benchmark
Figlewski, Stephen - 2002
Persistent link: https://www.econbiz.de/10001701082
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Local volatility changes in the Black-Scholes model
Bermin, Hans-Peter; Kohatsu-Higa, Arturo - 1999
Persistent link: https://www.econbiz.de/10001425316
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa (contributor); León, Jorge A. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003379784