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What Type of Process Underlies Options? A Simple Robust Test

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Cited by:

  1. Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
  2. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
  3. Liexin Cheng & Xue Cheng, 2024. "Decomposing Smiles: A Time Change Approach," Papers 2401.03776, arXiv.org, revised Jan 2024.
  4. Wendong Zheng & Pingping Zeng, 2015. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Papers 1504.08136, arXiv.org.
  5. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 3-46.
  6. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
  7. Jan Pospíšil & Tomáš Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Empirical Economics, Springer, vol. 57(6), pages 1935-1958, December.
  8. Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015. "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
  9. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
  10. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017. "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, vol. 72(3), pages 1335-1386, June.
  11. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
  12. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
  13. Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017. "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 276-295, May.
  14. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, University Library of Munich, Germany.
  15. Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank.
  16. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  17. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
  18. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
  19. Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
  20. Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
  21. Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020. "High-Frequency Jump Analysis of the Bitcoin Market," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
  22. Company, Rafael & Egorova, Vera N. & Jódar, Lucas, 2021. "A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 189(C), pages 69-84.
  23. Alexey MEDVEDEV & Olivier SCAILLET, 2004. "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series rp93, International Center for Financial Asset Management and Engineering.
  24. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
  25. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  26. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
  27. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
  28. Álvaro Cartea & Dimitrios Karyampas, 2016. "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 929-950, June.
  29. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
  30. Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021. "Market instability and technical trading at high frequency: Evidence from NASDAQ stocks," Economic Modelling, Elsevier, vol. 102(C).
  31. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
  32. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
  33. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
  34. Duong, Diep & Swanson, Norman R., 2015. "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
  35. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  36. Diep Duong & Norman R. Swanson, 2011. "Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks," Departmental Working Papers 201116, Rutgers University, Department of Economics.
  37. Yacine Aït-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-1050, December.
  38. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
  39. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
  40. Lee, Suzanne S. & Hannig, Jan, 2010. "Detecting jumps from Lévy jump diffusion processes," Journal of Financial Economics, Elsevier, vol. 96(2), pages 271-290, May.
  41. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  42. Fan, Yingying & Fan, Jianqing, 2011. "Testing and detecting jumps based on a discretely observed process," Journal of Econometrics, Elsevier, vol. 164(2), pages 331-344, October.
  43. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  44. Ruan, Xinfeng & Zhu, Wenli & Huang, Jiexiang & Zhang, Jin E., 2016. "Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums," Economic Modelling, Elsevier, vol. 54(C), pages 326-338.
  45. George Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.
  46. Oscar Gutierrez, 2008. "Option valuation, time-changed processes and the fast Fourier transform," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 103-108.
  47. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
  48. Richard Holowczak & Yusif Simaan & Liuren Wu, 2006. "Price discovery in the U.S. stock and stock options markets: A portfolio approach," Review of Derivatives Research, Springer, vol. 9(1), pages 37-65, January.
  49. Jane Mpapalika, 2020. "Alternative Financing Instruments for African Economies," 2020 Papers pmp2, Job Market Papers.
  50. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
  51. Lena Cleanthous & Pany Karamanou, 2011. "The ECB Monetary Policy and the Current Financial Crisis," Working Papers 2011-1, Central Bank of Cyprus.
  52. Carverhill, Andrew & Luo, Dan, 2023. "A Bayesian analysis of time-varying jump risk in S&P 500 returns and options," Journal of Financial Markets, Elsevier, vol. 64(C).
  53. Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022. "Option characteristics as cross-sectional predictors," LawFin Working Paper Series 37, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  54. Njike Leunga, Charles G. & Hainaut, Donatien, 2022. "Long memory self-exciting jump diffusion for asset prices modeling," LIDAM Discussion Papers ISBA 2022003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  55. Ben-zhang Yang & Jia Yue & Nan-jing Huang, 2017. "Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets," Papers 1712.10105, arXiv.org, revised Mar 2018.
  56. Xin Zhang & Donggyu Kim & Yazhen Wang, 2016. "Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets," Econometrics, MDPI, vol. 4(3), pages 1-26, August.
  57. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  58. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
  59. Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang, 2011. "Small-time expansions for local jump-diffusion models with infinite jump activity," Papers 1108.3386, arXiv.org, revised Jul 2014.
  60. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
  61. Xiaoyu Tan & Shenghong Li & Shuyi Wang, 2020. "Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate," Mathematics, MDPI, vol. 8(5), pages 1-10, May.
  62. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
  63. Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org.
  64. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
  65. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  66. Huimin Zhao & Jin E. Zhang & Eric C. Chang, 2013. "The Relation between Physical and Risk-neutral Cumulants," International Review of Finance, International Review of Finance Ltd., vol. 13(3), pages 345-381, September.
  67. Hwang, Eunju & Shin, Dong Wan, 2014. "A bootstrap test for jumps in financial economics," Economics Letters, Elsevier, vol. 125(1), pages 74-78.
  68. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
  69. Alvaro Cartea, 2005. "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance 0508, Birkbeck, Department of Economics, Mathematics & Statistics.
  70. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
  71. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
  72. Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
  73. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  74. Patrick Dennis & Stewart Mayhew, 2009. "Microstructural biases in empirical tests of option pricing models," Review of Derivatives Research, Springer, vol. 12(3), pages 169-191, October.
  75. Figueroa-López, José E. & Mancini, Cecilia, 2019. "Optimum thresholding using mean and conditional mean squared error," Journal of Econometrics, Elsevier, vol. 208(1), pages 179-210.
  76. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
  77. João Amaro de Matos & Nuno Silva, 2012. "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers 2012-01, GEMF, Faculty of Economics, University of Coimbra.
  78. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  79. Ben-zhang Yang & Jia Yue & Ming-hui Wang & Nan-jing Huang, 2018. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Papers 1805.06226, arXiv.org, revised May 2018.
  80. Dan Pirjol & Lingjiong Zhu, 2023. "Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility," Papers 2308.15672, arXiv.org, revised Feb 2024.
  81. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
  82. Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
  83. Chuang Yuang Lin & Dar Hsin Chen & Chin Yu Tsai, 2011. "The limitation of monotonicity property of option prices: an empirical evidence," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3103-3113.
  84. Amaro de Matos, João & Silva, Nuno, 2014. "Consuming durable goods when stock markets jump: A strategic asset allocation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 86-104.
  85. Duy Nguyen, 2018. "A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-30, December.
  86. Rama Cont & Cecilia Mancini, 2010. "Nonparametric tests for pathwise properties of semimartingales," Working Papers - Mathematical Economics 2010-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  87. Sergei Levendorskii, 2004. "The American put and European options near expiry, under Levy processes," Papers cond-mat/0404103, arXiv.org.
  88. Jun Kyung Auh & Mattia Landoni, 2022. "Loan Terms and Collateral: Evidence from the Bilateral Repo Market," Journal of Finance, American Finance Association, vol. 77(6), pages 2997-3036, December.
  89. Josselin Garnier & Knut Solna, 2015. "Correction to Black-Scholes formula due to fractional stochastic volatility," Papers 1509.01175, arXiv.org, revised Mar 2017.
  90. Charles S. Bos & Pawel Janus, 2013. "A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data," Tinbergen Institute Discussion Papers 13-155/III, Tinbergen Institute.
  91. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
  92. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
  93. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012. "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, vol. 168(2), pages 207-222.
  94. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
  95. Martin, Ryan & Ouyang, Cheng & Domagni, Francois, 2018. "‘Purposely misspecified’ posterior inference on the volatility of a jump diffusion process," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 106-113.
  96. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
  97. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
  98. Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.
  99. Hassan Zada & Arshad Hassan & Wing-Keung Wong, 2021. "Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets," Economies, MDPI, vol. 9(2), pages 1-26, June.
  100. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
  101. Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
  102. Danial Saef & Yuanrong Wang & Tomaso Aste, 2022. "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers 2208.12614, arXiv.org, revised Sep 2022.
  103. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
  104. Wendong Zheng & Pingping Zeng, 2016. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 344-373, September.
  105. Jan Posp'iv{s}il & Tom'av{s} Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Papers 1912.06709, arXiv.org.
  106. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
  107. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
  108. Ben-Zhang Yang & Jia Yue & Nan-Jing Huang, 2019. "Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-33, June.
  109. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  110. Diep Duong & Norman R. Swanson, 2011. "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers 201117, Rutgers University, Department of Economics.
  111. Raczko, Marek, 2015. "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers 552, Bank of England.
  112. Jos'e E. Figueroa-L'opez & Cecilia Mancini, 2017. "Optimum thresholding using mean and conditional mean square error," Papers 1708.04339, arXiv.org.
  113. Figueroa-López, José E. & Gong, Ruoting & Houdré, Christian, 2012. "Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1808-1839.
  114. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
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