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Option Valuation with Conditional Skewness · Study

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PreprintOption Valuation with Conditional Skewness

Peter Christoffersen2004

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Preprintgreen2004

Option Valuation with Conditional Skewness

Peter Christoffersen · Steven L. Heston · Kris Jacobs

74 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Cited by

2004A GARCH Option Pricing Model with Filtered Historical Simulation 2010Pricing and Inference with Mixtures of Conditionally Normal Processes 2008Smoothly truncated stable distributions, GARCH-models, and option pricing 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management 2012Financial Risk Measurement for Financial Risk Management

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2005Option valuation with conditional skewnessarticle · 27 shared references 2010The Econometrics of Option Pricingchapter · 23 shared references 2008Option Valuation with Long-Run and Short-Run Volatility Componentspreprint · 22 shared references 2010Pricing and Inference with Mixtures of Conditionally Normal Processespreprint · 20 shared references 2004The Econometrics of Option Pricingpreprint · 19 shared references 2013GARCH Option Valuation:Theory and Evidencearticle · 18 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations74

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.557079

openalex_workW1978140781

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2011Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations

2008Volatility Components, Affine Restrictions and Non-Normal Innovations

2008Mispricing of S&P 500 Index Options