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The dynamics of stochastic volatility: evidence from underlying and options markets

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Cited by:

  1. 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.
  2. 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.
  3. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  4. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  5. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
  6. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
  7. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
  8. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  9. 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.
  10. 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.
  11. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
  12. Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
  13. Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi, 2010. "Constant elasticity of variance model for proportional reinsurance and investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 580-587, June.
  14. 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.
  15. 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.
  16. repec:qut:auncer:2012_11 is not listed on IDEAS
  17. 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.
  18. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.
  19. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  20. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  21. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  22. Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010. "Simulated maximum likelihood estimation of continuous time stochastic volatility models," Advances in Econometrics, in: Maximum Simulated Likelihood Methods and Applications, pages 137-161, Emerald Group Publishing Limited.
  23. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
  24. 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.
  25. 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.
  26. 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.
  27. Timothy Sharp & Steven Li & David Allen, 2010. "Empirical performance of affine option pricing models: evidence from the Australian index options market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 501-514.
  28. Małgorzata Just & Krzysztof Echaust, 2021. "An Optimal Tail Selection in Risk Measurement," Risks, MDPI, vol. 9(4), pages 1-16, April.
  29. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
  30. 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.
  31. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
  32. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
  33. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  34. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  35. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
  36. Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
  37. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
  38. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
  39. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
  40. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  41. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
  42. 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.
  43. 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.
  44. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
  45. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
  46. Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
  47. Shane Miller & Eckhard Platen, 2010. "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 147-175.
  48. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  49. Michael Kurz, 2018. "Closed-form approximations in derivatives pricing: The Kristensen-Mele approach," Papers 1804.08904, arXiv.org.
  50. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  51. Shoji, Isao, 2013. "Filtering for partially observed diffusion and its applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4966-4976.
  52. Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 511-530, June.
  53. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
  54. Danielsson, Jon & Song Shin, Hyun & Zigrand, Jean-Pierre, 2011. "Balance sheet capacity and endogenous risk," LSE Research Online Documents on Economics 43141, London School of Economics and Political Science, LSE Library.
  55. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  56. A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
  57. Wu, Xin-Yu & Ma, Chao-Qun & Wang, Shou-Yang, 2012. "Warrant pricing under GARCH diffusion model," Economic Modelling, Elsevier, vol. 29(6), pages 2237-2244.
  58. Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016. "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, vol. 16(C), pages 220-229.
  59. Abel Rodr�guez & Enrique ter Horst, 2011. "Measuring expectations in options markets: an application to the S&P500 index," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1393-1405, July.
  60. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
  61. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
  62. Hu, Jun & Kanniainen, Juho, 2015. "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, vol. 14(C), pages 1-10.
  63. Aleksandar Mijatović & Paul Schneider, 2014. "Empirical Asset Pricing with Nonlinear Risk Premia," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 479-506.
  64. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
  65. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
  66. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  67. Gang Li & Chu Zhang, 2010. "On the Number of State Variables in Options Pricing," Management Science, INFORMS, vol. 56(11), pages 2058-2075, November.
  68. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  69. Bernd Hayo & Britta Niehof, 2014. "Analysis of Monetary Policy Responses After Financial Market Crises in a Continuous Time New Keynesian Model," MAGKS Papers on Economics 201421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  70. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  71. 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.
  72. Imma Valentina Curato, 2012. "Asymptotics for the Fourier estimators of the volatility of volatility and the leverage," Working Papers - Mathematical Economics 2012-11, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  73. Gabriel G. Drimus, 2012. "Options on realized variance by transform methods: a non-affine stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1679-1694, November.
  74. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  75. Tyler J. VanderWeele, 2007. "The volatility effects of nontrading for stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1037-1041.
  76. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
  77. Chi Hung Yuen & Wendong Zheng & Yue Kuen Kwok, 2015. "Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(5), pages 421-449, November.
  78. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
  79. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
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  81. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.
  82. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  83. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  84. Li, Gang & Zhang, Chu, 2019. "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, vol. 134(3), pages 647-668.
  85. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
  86. Kaeck, Andreas & Alexander, Carol, 2013. "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 46-56.
  87. Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
  88. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
  89. Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
  90. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
  91. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
  92. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
  93. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  94. Chenxu Li & O. Scaillet & Yiwen Shen, 2020. "Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets," Swiss Finance Institute Research Paper Series 20-22, Swiss Finance Institute.
  95. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
  96. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
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  98. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
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  100. Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
  101. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
  102. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  103. Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
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  106. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
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  108. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
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  119. Andreas Kaeck & Carol Alexander, 2013. "Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics," European Financial Management, European Financial Management Association, vol. 19(3), pages 470-496, June.
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  125. Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
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  128. Worapree Maneesoonthorn & David T. Frazier & Gael M. Martin, 2024. "Probabilistic Predictions of Option Prices Using Multiple Sources of Data," Papers 2412.00658, arXiv.org.
  129. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Working Papers hal-01212018, HAL.
  130. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 9-18, August.
  131. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, Department of Economics and Business Economics, Aarhus University.
  132. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  133. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
  134. Michael B. Gordy & Pawel J. Szerszen, 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
  135. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
  136. Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
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