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An empirical comparison of two stochastic volatility models using Indian market data

Iyer, Srikanth K.; Nanda, Seema; Kumar, Swapnil - In: Asia-Pacific financial markets 20 (2013) 3, pp. 243-259

Persistent link: https://www.econbiz.de/10010188304

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

Persistent link: https://www.econbiz.de/10011412294

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

U.S. stock market crash risk, 1926–2010

Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259

Persistent link: https://www.econbiz.de/10009666837

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24

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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses

Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22

Persistent link: https://www.econbiz.de/10010438507

Option pricing with non-Gaussian scaling and infinite-state switching volatility

Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497

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Understanding jumps in high frequency digital asset markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

Persistent link: https://www.econbiz.de/10012657696

A jump and smile ride : jump and variance risk premia in option pricing

Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157

Persistent link: https://www.econbiz.de/10012180409

Variance trading and market price of variance risk

Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010379480