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Forecasting with option-implied information

Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2013

Persistent link: https://www.econbiz.de/10011507021

Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231

Persistent link: https://www.econbiz.de/10012002169

Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

Persistent link: https://www.econbiz.de/10011398641

Dynamic jump intensities and risk premiums in crude oil futures and options markets

Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

Persistent link: https://www.econbiz.de/10011646275

Dynamic jump intensities and risk premiums in crude oil futures and options markets

Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 8-30

Persistent link: https://www.econbiz.de/10011687332

The factor structure in equity options

Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - In: The review of financial studies 31 (2018) 2, pp. 595-637

Persistent link: https://www.econbiz.de/10011925246

A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"

Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214

Persistent link: https://www.econbiz.de/10011327221

The importance of the loss function in option valuation

Christoffersen, Peter F.; Jacobs, Kris - In: Journal of financial economics 72 (2004) 2, pp. 291-318

Persistent link: https://www.econbiz.de/10002033587

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

Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices

Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - In: The review of financial studies 23 (2010) 8, pp. 3141-3189

Persistent link: https://www.econbiz.de/10008662052