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Empirical Performance of Alternative Option Pricing Models
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- Chi, Tsung-Li & Liu, Hung-Tsen & Chang, Chia-Chien, 2023. "Hedging performance using google Trends–Evidence from the indian forex options market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 107-123.
- Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
- Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
- Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
- Audrino, Francesco & Fengler, Matthias R., 2015.
"Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data,"
Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
- Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
- Ravi Bansal & Ivan Shaliastovich, 2011.
"Learning and Asset-price Jumps,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
- Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011.
"Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
- Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Jensen, Mark J. & Maheu, John M., 2010.
"Bayesian semiparametric stochastic volatility modeling,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
- Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
- Mark J. Jensen & John M. Maheu, 2009. "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper series 23_09, Rimini Centre for Economic Analysis.
- Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
- Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
- 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.
- Akihiko Takahashi & Akira Yamazaki, 2008. "A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models ( Revised in June 2008, Published in "Journal of Futures Markets", Vol.29-5, 397-413, 2009. )," CARF F-Series CARF-F-120, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tim Bollerslev & Viktor Todorov, 2011.
"Tails, Fears, and Risk Premia,"
Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
- Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
- Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
- Gonçalo Faria & João Correia-da-Silva, 2014.
"A closed-form solution for options with ambiguity about stochastic volatility,"
Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
- Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
- Suleyman Basak & Georgy Chabakauri, 2012.
"Dynamic Hedging in Incomplete Markets: A Simple Solution,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
- Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
- Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics 119068, London School of Economics and Political Science, LSE Library.
- Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
- Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
- Sol Kim & In Jung Song, 2021. "The traders' rule and long‐term options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 406-436, March.
- Gradojevic Nikola, 2016.
"Multi-criteria classification for pricing European options,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 123-139, April.
- Nikola Gradojevic, 2015. "Multi-criteria Classification for Pricing European Options," Working Paper series 15-13, Rimini Centre for Economic Analysis.
- Soini, Vesa & Lorentzen, Sindre, 2019. "Option prices and implied volatility in the crude oil market," Energy Economics, Elsevier, vol. 83(C), pages 515-539.
- Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2014. "Option pricing with stochastic liquidity risk: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 18(C), pages 77-95.
- Ricardo Crisóstomo, 2017. "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
- Anu Bharadwaj & James B. Wiggins, 2003. "Trade Imbalances and Inventory Effects in Long‐term S&P 500 Index Options," The Financial Review, Eastern Finance Association, vol. 38(2), pages 293-309, May.
- Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
- Markose, Sheri M & Alentorn, Amadeo, 2005. "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers 3726, University of Essex, Department of Economics.
- Cho-Hoi Hui & Tsz-Kin Chung, 2010. "The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010," Working Papers 252010, Hong Kong Institute for Monetary Research.
- Chang, Chuang-Chang & Hsieh, Pei-Fang & Tang, Chih-Wei & Wang, Yaw-Huei, 2013. "The intraday behavior of information misreaction across various categories of investors in the Taiwan options market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 362-385.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
- Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
- Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang, 2013. "Pricing discrete path-dependent options under a double exponential jump–diffusion model," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2702-2713.
- Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
- Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
- Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019.
"Skewness risk premium: Theory and empirical evidence,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
- Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013. "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers 9349, C.E.P.R. Discussion Papers.
- Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Berkowitz Jeremy, 2009. "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-27, December.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022.
"A meta-measure of performance related to both investors and investments characteristics,"
Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-02933252, HAL.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008.
"Forecasting commodity prices: GARCH, jumps, and mean reversion,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers 06-14, Bank of Canada.
- International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing," IMF Staff Country Reports 2010/244, International Monetary Fund.
- Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
- Andreas Kaeck & Carol Alexander, 2010. "Stochastic Volatility Jump-Diffusions for Equity Index Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2010-06, Henley Business School, University of Reading.
- Santa-Clara, Pedro & Saretto, Alessio, 2009.
"Option strategies: Good deals and margin calls,"
Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
- Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
- René Garcia & Richard Luger & Eric Renault, 2000.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
Working Papers
2000-57, Center for Research in Economics and Statistics.
- René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019.
"Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
- Tan, Abby, 2006. "Long-memory volatility in derivative hedging," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 689-696.
- Dilip B. Madan, 2015. "Estimating Parametric Models of Probability Distributions," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 823-831, September.
- Shih-Feng Huang & Meihui Guo, 2014. "Model risk of the implied GARCH-normal model," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2215-2224, December.
- Constantinides, George M. & Lian, Lei, 2021.
"The Supply and Demand of S&P 500 Put Options,"
Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
- George M. Constantinides & Lei Lian, 2015. "The Supply and Demand of S&P 500 Put Options," NBER Working Papers 21161, National Bureau of Economic Research, Inc.
- Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022.
"Premium for heightened uncertainty: Explaining pre-announcement market returns,"
Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
- Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
- Romuald Kenmoe & Simona Sanfelici, 2014. "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 393-412, October.
- 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.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
- He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
- Manfred Gilli & Enrico Schumann, 2012.
"Heuristic optimisation in financial modelling,"
Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
- Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
- Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016. "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 457-467.
- Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011.
"The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
- Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, Department of Economics and Business Economics, Aarhus University.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
- Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015.
"Option valuation with observable volatility and jump dynamics,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
- Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2015. "Option Valuation with Observable Volatility and Jump Dynamics," Staff Working Papers 15-39, Bank of Canada.
- Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
- Peter Carr & Dilip Madan, 2012. "Factor Models for Option Pricing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 319-329, November.
- Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
- Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
- Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014.
"The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020.
"Mispriced index option portfolios,"
Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
- Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
- Carvalho, Augusto & Guimaraes, Bernardo, 2018.
"State-controlled companies and political risk: Evidence from the 2014 Brazilian election,"
Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
- Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
- Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Guo, Weiyu, 2004. "Some evidence in the trading and pricing of equity LEAPS," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 407-426.
- Ilze Kalnina & Dacheng Xiu, 2017.
"Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
- Ilze KALNINA & Dacheng XIU, 2015. "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche 09-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- KALNINA, Ilze & XIU, Dacheng, 2015. "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche 2015-05, Universite de Montreal, Departement de sciences economiques.
- Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
- Faheem Aslam & Yasir Tariq Mohmand & Saqib Aziz & Jamal Ouenniche, 2020. "A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market," Post-Print hal-03160685, HAL.
- Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
- Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005.
"Implicit Bayesian Inference Using Option Prices,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 437-462, May.
- Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/03, Monash University, Department of Econometrics and Business Statistics.
- Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 2005. "Managing Livestock Feed Cost Risks Using Futures and Options," 2005 Annual meeting, July 24-27, Providence, RI 19399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Joseph K. W. Fung & Henry M. K. Mok & Kenneth C. K. Wong, 2004. "Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market," The Financial Review, Eastern Finance Association, vol. 39(3), pages 435-454, August.
- Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018.
"A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 425-460.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou, 2016. "Jumps and stochastic volatility in crude oil prices and advances in average option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1859-1873, December.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Düllmann, Klaus & Kunisch, Michael & Küll, Jonathan, 2008. "Estimating asset correlations from stock prices or default rates: which method is superior?," Discussion Paper Series 2: Banking and Financial Studies 2008,04, Deutsche Bundesbank.
- R. Glen Donaldson & Mark J. Kamstra, 2005.
"Volatility Forecasts, Trading Volume, And The Arch Versus Option‐Implied Volatility Trade‐Off,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(4), pages 519-538, December.
- Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper 2004-6, Federal Reserve Bank of Atlanta.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017.
"Short-Term Market Risks Implied by Weekly Options,"
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