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Option valuation with conditional skewness Author info | Abstract | Publisher info | Download info | Related research | Statistics Christoffersen, Peter
Heston, Steve
Jacobs, Kris
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 131 (2006)
Issue (Month): 1-2 ()
Pages: 253-284
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Handle: RePEc:eee:econom:v:131:y:2006:i:1-2:p:253-284Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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Jones, Christopher S., 2003.
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Heston, Steven L, 1993.
"A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options ,"
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Bertholon, H. & Monfort, A. & Pegoraro, F., 2008.
"Econometric Asset Pricing Modelling ,"
Documents de Travail
223, Banque de France.
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Other versions:
Henri Bertholon ; Alain Monfort ; Fulvio Pegoraro, 2007.
"Econometric Asset Pricing Modelling ,"
Working Papers
2007-18, Centre de Recherche en Economie et Statistique, revised 2007.
[Downloadable!] H. Bertholon & A. Monfort & F. Pegoraro, 2008.
"Econometric Asset Pricing Modelling ,"
Journal of Financial Econometrics ,
Oxford University Press, vol. 6(4), pages 407-458, Fall.
[Downloadable!] (restricted) Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004.
"Option Valuation with Long-run and Short-run Volatility Components ,"
CIRANO Working Papers
2004s-56, CIRANO.
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Other versions:
Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008.
"Option Valuation with Long-run and Short-run Volatility Components ,"
CREATES Research Papers
2008-11, School of Economics and Management, University of Aarhus.
[Downloadable!] Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008.
"Option valuation with long-run and short-run volatility components ,"
Journal of Financial Economics ,
Elsevier, vol. 90(3), pages 272-297, December.
[Downloadable!] (restricted) Pentti Saikkonen & Markku Lanne, 2004.
"A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns ,"
Econometric Society 2004 North American Summer Meetings
469, Econometric Society.
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Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management ,"
NBER Working Papers
11069, National Bureau of Economic Research, Inc.
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Other versions:
Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management ,"
PIER Working Paper Archive
05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!] Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management ,"
CFS Working Paper Series
2005/02, Center for Financial Studies.
[Downloadable!] Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management ,"
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[Downloadable!] Jeroen Rombouts & Lars Peter Stentoft, 2009.
"Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models ,"
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Other versions: Lars Stentoft, 2008.
"American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution ,"
CREATES Research Papers
2008-41, School of Economics and Management, University of Aarhus.
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Other versions: Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009.
"Option Valuation with Conditional Heteroskedasticity and Non-Normality ,"
CREATES Research Papers
2009-33, School of Economics and Management, University of Aarhus.
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Markku Lanne & Pentti Saikkonen, 2005.
"Modeling Conditional Skewness in Stock Returns ,"
Economics Working Papers
ECO2005/14, European University Institute.
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Other versions: Peter Christoffersen & Kris Dorion & Yintian Wang, 2008.
"Volatility Components, Affine Restrictions and Non-Normal Innovations ,"
CREATES Research Papers
2008-10, School of Economics and Management, University of Aarhus.
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Jeroen V.K. Rombouts & Lars Stentoft, 2009.
"Bayesian Option Pricing Using Mixed Normal Heteroskedasticity ,"
Cahiers de recherche
0926, CIRPEE.
[Downloadable!]
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