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Option valuation with conditional skewness
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: Journal of econometrics 131 (2006) 1/2, pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008
Persistent link: https://www.econbiz.de/10003861266
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Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - 2008
Persistent link: https://www.econbiz.de/10003861277
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Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003865667
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Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
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Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117
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Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2109
Persistent link: https://www.econbiz.de/10008732109
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The relative entropy in CGMY processes and its applications to finance
Kim, Young Shin; Lee, Jeong Hyun - In: Mathematical methods of operations research 66 (2007) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10003564151