SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The role of the variance premium in Jump-GARCH option pricing models · Study

ArticleShelves

ArticleThe role of the variance premium in Jump-GARCH option pricing models

Suk Joon Byun2015

Article2015

The role of the variance premium in Jump-GARCH option pricing models

Suk Joon Byun · Byungsun Min · Sun‐Joong Yoon

24 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 24 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2006The Cross‐Section of Volatility and Expected Returns 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013GARCH Option Valuation:Theory and Evidencearticle · 27 shared references 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernelarticle · 26 shared references 2009Stochastic Volatilityother · 24 shared references 2019Volatility and Expected Option Returnsarticle · 23 shared references 2008Option Valuation with Long-Run and Short-Run Volatility Componentspreprint · 21 shared references 2017Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*article · 21 shared references

Details

Year2015

Typearticle

Published2015-06-13

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jbankfin.2015.05.009

openalex_workW1898549026

Links

Imported from OpenAlex (CC0) — nothing here is generated.