Pages that link to "Item:Q894646"
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The following pages link to A tale of two option markets: pricing kernels and volatility risk (Q894646):
Displaying 22 items.
- Time-varying jump tails (Q473227) (← links)
- The pricing kernel puzzle: survey and outlook (Q1669867) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
- Option valuation under no-arbitrage constraints with neural networks (Q2030534) (← links)
- Sieve estimation of option-implied state price density (Q2043257) (← links)
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach (Q2173190) (← links)
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints (Q2180297) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
- Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (Q2962134) (← links)
- Option augmented density forecasts of market returns with monotone pricing kernel (Q4554445) (← links)
- A dynamic equilibrium model for U-shaped pricing kernels (Q4554467) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- A new representation of the risk-neutral distribution and its applications (Q5079373) (← links)
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY (Q5221310) (← links)
- SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION (Q5367497) (← links)
- A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
- Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution (Q6090499) (← links)
- Semiparametric estimation of latent variable asset pricing models (Q6133354) (← links)