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The role of the variance premium in Jump-GARCH option pricing models
16 references·0 citing·34 second hop
The role of the variance premium in Jump-GARCH option pricing models (2015)The role of the variance premium in Jump-…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELComparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited

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  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
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