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The Optimal Demand for Retail Derivatives
16 references·0 citing·40 second hopsampled
The Optimal Demand for Retail Derivatives (2008)The Optimal Demand for Retail DerivativesRealized jumps on financial markets and predicting credit spreads (2010)Realized jumps on financial m…Understanding Index Option Returns (2009)Understanding Index Option Re…A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)A Nonlinear Factor Analysis o…Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments (2005)Are structured products ‘fair…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Pricing of Structured Products in Germany (2003)The Pricing of Structured Pro…Dynamic derivative strategies (2003)Dynamic derivative strategiesDelta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Expected Option Returns (2001)Expected Option ReturnsDelta-Hedged Gains and the Negative Market Volatility Risk Premium (2001)Delta-Hedged Gains and the Ne…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Expected Option Returns (1999)Expected Option ReturnsAdvances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Nonlinear factor analysis. (1967)Nonlinear factor analysis.The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Option pricing when underlying stock returns are discontinuous (1976)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)Endogenous Information Flows and the Clustering of Announcements (2011)Fact or friction: Jumps at ultra high frequency (2014)The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market (2018)A Theory of the Term Structure of Interest Rates (1985)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)Volatility Jumps (2010)Explaining asset pricing puzzles associated with the 1987 market crash (2011)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Theory of Rational Option Pricing (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Disasters Implied by Equity Index Options (2011)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)
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References

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2001Expected Option Returns771 cited
  • 2009Understanding Index Option Returns333 cited
  • 2003Dynamic derivative strategies312 cited
  • 2010Realized jumps on financial markets and predicting credit spreads220 cited
  • 1967Nonlinear factor analysis.218 cited
  • 2001Delta-Hedged Gains and the Negative Market Volatility Risk Premium185 cited
  • 2006A Nonlinear Factor Analysis of S&P 500 Index Option Returns170 cited
  • 2005Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments168 cited
  • 1999Expected Option Returns136 cited

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The Pricing of Structured Products in Germany
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