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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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Big moves of mutual funds
Lehnert, Thorsten - In: Eurasian economic review : a journal in applied … 9 (2019) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011994950
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Mutual funds, price pressure and index options
Lehnert, Thorsten - 2016
Persistent link: https://www.econbiz.de/10011565495
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Skewness risk premium : theory and empirical evidence
Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2013
Persistent link: https://www.econbiz.de/10009723118
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Skewness risk premium : theory and empirical evidence
Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014
Persistent link: https://www.econbiz.de/10010502927
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Loss functions in option valuation : a framework for selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christiaan … - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 853-862
Persistent link: https://www.econbiz.de/10003860372
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Skewness risk premium : theory and empirical evidence
Lin, Yuehao; Lehnert, Thorsten; Wolff, Christiaan … - In: International review of financial analysis 63 (2019), pp. 174-185
Persistent link: https://www.econbiz.de/10012207438