SZodixStudyAcademic Library

Shelves Open access

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

Jump and volatility risk premiums implied by VIX · Study

ArticleShelves

ArticleJump and volatility risk premiums implied by VIX

Jin‐Chuan Duan2010

OA

Articlegreen2010

Jump and volatility risk premiums implied by VIX

Jin‐Chuan Duan · Chung-Ying Yeh

140 citations·0/0 files stored·Journal of Economic Dynamics and Control

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 — 140 citations exist upstream.

References

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 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns 2000Post-'87 crash fears in the S&P 500 futures option market 1987The Pricing of Options on Assets with Stochastic Volatilities

Cited by

2011An analytical formula for VIX futures and its applications 2012Estimating and Using GARCH Models with VIX Data for Option Valuation 2015What do asset prices have to say about risk appetite and uncertainty?2013A regime-switching Heston model for VIX and S&P 500 implied volatilities 2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Related works

Explore the map →

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

2009Stochastic Volatilityother · 17 shared references 2010A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Pricesarticle · 14 shared references 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Wellpreprint · 14 shared references 2007An empirical comparison of continuous-time models of implied volatility indicesarticle · 13 shared references 2014Variance trading and market price of variance riskarticle · 13 shared references 2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusionsarticle · 13 shared references

Details

Year2010

Typearticle

Published2010-06-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations140

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jedc.2010.05.006

openalex_workW2033339659

Links

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

2017

Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis

2007Construction and Interpretation of Model-Free Implied Volatility

2012The Term Structure of VIX