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Citations for "Option Valuation with Conditional Skewness"

by Peter Christoffersen & Steve Heston & Kris Jacobs

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  1. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
  2. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
  3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  4. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2013. "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964950, HAL.
  6. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  7. Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian, 2010. "Volatility Components, Affine Restrictions, and Nonnormal Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 483-502.
  8. 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.
  9. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  10. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
  11. Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper Series 34_12, The Rimini Centre for Economic Analysis.
  12. Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
  13. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, School of Economics and Management, University of Aarhus.
  14. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
  15. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2014. "Assessing the performance of symmetric and asymmetric implied volatility functions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 373-397, April.
  16. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
  17. repec:hal:journl:halshs-00469529 is not listed on IDEAS
  18. Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.
  19. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
  20. Ederington, Louis H. & Guan, Wei, 2013. "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3388-3400.
  21. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
  22. Duca, Ioana Andreea & Ruxanda, Gheorghe, 2013. "A View on the Risk-Neutral Density Forecasting of the Dax30 Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 101-114, June.
  23. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
  24. Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009. "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series 09-03, Luxembourg School of Finance, University of Luxembourg.
  25. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," CORE Discussion Papers 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  27. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Working Papers 11-20, Bank of Canada.
  28. Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
  29. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336, HAL.
  30. Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
  31. 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.
  32. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  33. repec:hal:journl:halshs-00368336 is not listed on IDEAS
  34. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, School of Economics and Management, University of Aarhus.
  35. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Working Papers 13-32, Bank of Canada.
  36. repec:hal:journl:hal-00308687 is not listed on IDEAS
  37. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.
  38. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
  39. 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.
  40. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  41. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
  42. repec:hal:journl:halshs-00523371 is not listed on IDEAS
  43. repec:hal:journl:halshs-00281585 is not listed on IDEAS
  44. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
  45. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
  46. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus.
  47. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
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