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Jump risk, stock returns, and slope of implied volatility smile · Study

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ArticleJump risk, stock returns, and slope of implied volatility smile

Shu Yan2010

OA

Articlegreen2010

Jump risk, stock returns, and slope of implied volatility smile

327 citations·0/0 files stored·Journal of Financial Economics

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 327 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Cited by

2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options 2014Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns 2021Does corporate eco-innovation affect stock price crash risk?2018Does crackdown on corruption reduce stock price crash risk? Evidence from China 2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 2019Good Volatility, Bad Volatility, and the Cross Section of Stock Returns 2016Accruals and price crashes 1976THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

Details

Year2010

Typearticle

Published2010-08-26

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations327

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2010.08.011

openalex_workW2014389988

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