A tale of two option markets: pricing kernels and volatility risk
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
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- scientific article; zbMATH DE number 3308248 (Why is no real title available?)
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- Filtering via Simulation: Auxiliary Particle Filters
- Multivariate locally weighted least squares regression
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric option pricing under shape restrictions
- Nonparametric risk management and implied risk aversion
- Nonparametric transition-based tests for jump diffusions
- Particle Filtering
- Post-'87 crash fears in the S\&P 500 futures option market
- Stochastic Volatility for Lévy Processes
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- The elements of statistical learning. Data mining, inference, and prediction
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Volatility jumps
Cited in
(29)- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Volatility-Related Exchange Traded Assets: An Econometric Investigation
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
- Sieve estimation of option-implied state price density
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Pricing kernels, market utility functions and investor preferences
- A data-driven framework for consistent financial valuation and risk measurement
- Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Extreme-strike comparisons and structural bounds for SPX and VIX options
- Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
- Nonparametric filtering of conditional state-price densities
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- Option valuation under no-arbitrage constraints with neural networks
- A dynamic equilibrium model for U-shaped pricing kernels
- Option augmented density forecasts of market returns with monotone pricing kernel
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- A new representation of the risk-neutral distribution and its applications
- The pricing kernel puzzle: survey and outlook
- SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- Resolution of policy uncertainty and sudden declines in volatility
- Semiparametric estimation of latent variable asset pricing models
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Time-varying jump tails
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