My bibliography
Save this item
Spanning and derivative-security valuation
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Michael Bauer & Mikhail Chernov, 2024.
"Interest Rate Skewness and Biased Beliefs,"
Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Josh Lerner, 2002.
"Where Does State Street Lead? A First Look at Finance Patents, 1971 to 2000,"
Journal of Finance, American Finance Association, vol. 57(2), pages 901-930, April.
- Josh Lerner, 2000. "Where Does State Street Lead? A First Look at Finance Patents, 1971-2000," NBER Working Papers 7918, National Bureau of Economic Research, Inc.
- Josh Lerner, 2004. "Where Does State Street Lead? First Look at Finance Patents, 1971-2000," Levine's Working Paper Archive 122247000000000497, David K. Levine.
- 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.
- Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao, 2019. "The Term Structure of Government Debt Uncertainty," CEPR Discussion Papers 13874, C.E.P.R. Discussion Papers.
- Lorenz Schneider & Bertrand Tavin, 2015. "Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets," Papers 1506.05911, arXiv.org.
- Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013.
"Prediction Markets for Economic Forecasting,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 657-687,
Elsevier.
- Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2012. "Prediction Markets for Economic Forecasting," CEPR Discussion Papers 9059, C.E.P.R. Discussion Papers.
- Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012. "Prediction Markets for Economic Forecasting," CESifo Working Paper Series 3884, CESifo.
- Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2012. "Prediction Markets for Economic Forecasting," IZA Discussion Papers 6720, Institute of Labor Economics (IZA).
- Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012. "Prediction Markets for Economic Forecasting," NBER Working Papers 18222, National Bureau of Economic Research, Inc.
- Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012. "Prediction Markets for Economic Forecasting," CAMA Working Papers 2012-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Turan G. Bali & Hao Zhou, 2011.
"Risk, uncertainty, and expected returns,"
Finance and Economics Discussion Series
2011-45, Board of Governors of the Federal Reserve System (U.S.).
- Turan G. Bali & Hao Zhou, 2013. "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1306, Koc University-TUSIAD Economic Research Forum.
- Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Ricardo Crisóstomo, 2021.
"Estimating real‐world probabilities: A forward‐looking behavioral framework,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002.
"An Empirical Investigation of Continuous‐Time Equity Return Models,"
Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
- Mr. Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices," IMF Working Papers 2004/196, International Monetary Fund.
- Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Feunou, Bruno & Okou, Cédric, 2019.
"Good Volatility, Bad Volatility, and Option Pricing,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(2), pages 695-727, April.
- Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
- Naoto Kunitomo & Yong-Jin Kim, 2001. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version)," CIRJE F-Series CIRJE-F-129, CIRJE, Faculty of Economics, University of Tokyo.
- David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023.
"The Variance Risk Premium in Equilibrium Models,"
Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- Ricardo Crisóstomo & Lorena Couso, 2018.
"Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
- Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
- Bakshi, Gurdip & Ju, Nengjiu & Ou-Yang, Hui, 2006. "Estimation of continuous-time models with an application to equity volatility dynamics," Journal of Financial Economics, Elsevier, vol. 82(1), pages 227-249, October.
- Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
- Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic derivative strategies,"
Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Oscar Gutierrez, 2008. "Option valuation, time-changed processes and the fast Fourier transform," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 103-108.
- Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
- Lorenz Schneider & Bertrand Tavin, 2018. "Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets," Papers 1802.01393, arXiv.org, revised Nov 2018.
- C. Neri & L. Schneider, 2012. "The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data," Papers 1201.2616, arXiv.org, revised Sep 2013.
- Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006.
"Option valuation with conditional skewness,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
- Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
- Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
- Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).
- 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.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
- Lorenz Schneider & Bertrand Tavin, 2014. "From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options," Papers 1401.7913, arXiv.org, revised Feb 2015.
- Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
- Xiong, Jian & Wong, Augustine & Salopek, Donna, 2005. "Saddlepoint approximations to option price in a general equilibrium model," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 361-369, March.
- George J. Jiang, 2002. "Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates," International Review of Finance, International Review of Finance Ltd., vol. 3(3‐4), pages 233-272, September.
- Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
- Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
- Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015. "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 256-265.
- Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009. "Cross-sectional analysis of risk-neutral skewness," CFR Working Papers 09-11, University of Cologne, Centre for Financial Research (CFR).
- Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
- Kim, In Joon & Kim, Sol, 2004. "Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 117-142, April.
- Jaehyuk Choi & Sungchan Shin, 2016.
"Fast Swaption Pricing In Gaussian Term Structure Models,"
Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 962-982, October.
- Jaehyuk Choi & Sungchan Shin, 2018. "Fast swaption pricing in Gaussian term structure models," Papers 1803.08803, arXiv.org.
- Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
- Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
- 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.
- Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
- Torben G. Andersen & Oleg Bondarenko, 2007.
"Construction and Interpretation of Model-Free Implied Volatility,"
CREATES Research Papers
2007-24, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc.
- Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers 06-38, Bank of Canada.
- Alan L. Lewis, 2001. "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles explevy, Finance Press.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Chou-Wen Wang & Ting-Yi Wu, 2010. "Futures and futures options with basis risk: theoretical and empirical perspectives," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 477-485.
- Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
- Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
- Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.
- Bruno Feunou & Cédric Okou, 2018.
"Risk‐neutral moment‐based estimation of affine option pricing models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
- Bruno Feunou & Cédric Okou, 2017. "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers 17-55, Bank of Canada.
- Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08, University of Cologne, Centre for Financial Research (CFR).
- Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.