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The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012

Persistent link: https://www.econbiz.de/10009485768

The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012

Persistent link: https://www.econbiz.de/10009504643

Dynamics of variance risk premia, investors' sentiment and return predictability

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017

Persistent link: https://www.econbiz.de/10011624137

Pricing individual stock options using both stock and market index information

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012221075

Dynamics of variance risk premia : a new model for disentangling the price of risk

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of econometrics 217 (2020) 2, pp. 312-334

Persistent link: https://www.econbiz.de/10012482765

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Volatility and Expected Option Returns

Hu, Guanglian - 2017

We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are strongly supported by the data. In the...

Persistent link: https://www.econbiz.de/10012970574

Capturing option anomalies with a variance-dependent pricing Kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: The review of financial studies 26 (2013) 8, pp. 1962-2006

Persistent link: https://www.econbiz.de/10010207293

Option anomalies and the pricing kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2010

Persistent link: https://www.econbiz.de/10009161205

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534