Pages that link to "Item:Q1969818"
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The following pages link to Post-'87 crash fears in the S\&P 500 futures option market (Q1969818):
Displayed 40 items.
- Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
- The market for crash risk (Q844715) (← links)
- Testing for volatility jumps in the stochastic volatility process (Q862565) (← links)
- Equilibrium asset pricing with systemic risk (Q926213) (← links)
- Determinants of S\&P 500 index option returns (Q941727) (← links)
- Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← links)
- Calibration of a path-dependent volatility model: empirical tests (Q961413) (← links)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
- Microstructural biases in empirical tests of option pricing models (Q1037574) (← links)
- The smirk in the S\&P500 futures options prices: a linearized factor analysis (Q1039662) (← links)
- Nonparametric option pricing under shape restrictions (Q1398968) (← links)
- Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
- The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- Empirical option pricing: A retrospection (Q1398987) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- The surprise element: Jumps in interest rates. (Q1858907) (← links)
- Pricing and hedging long-term options (Q1969824) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- Revealing the implied risk-neutral MGF from options: the wavelet method (Q2271662) (← links)
- Lévy processes driven by stochastic volatility (Q2372257) (← links)
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076) (← links)
- Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)
- Multifrequency jump-diffusions: An equilibrium approach (Q2469552) (← links)
- EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS (Q2786345) (← links)
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
- Pseudospectral methods for pricing options (Q3182746) (← links)
- Calibration of a nonlinear feedback option pricing model (Q3439871) (← links)
- The fair value of guaranteed annuity options (Q3440844) (← links)
- SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) (← links)
- Short Positions, Rally Fears and Option Markets (Q3565100) (← links)
- Stochastic Volatility for Lévy Processes (Q4812839) (← links)
- The Term Structure of Simple Forward Rates with Jump Risk (Q4812840) (← links)
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355) (← links)
- Implicit Bayesian Inference Using Option Prices (Q5467612) (← links)
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775) (← links)
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169) (← links)
- Estimation of affine asset pricing models using the empirical characteristic function (Q5939360) (← links)
- A forward started jump-diffusion model and pricing of cliquet style exotics (Q5962132) (← links)