Do stock prices and volatility jump? Reconciling evidence from spot and option prices (2001)

by Bjørn Eraker
Citations:97 - 2 self

Active Bibliography

1 Essays in Financial Econometrics – Mikhail Chernov - 2000
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
7 Stochastic volatility: origins and overview – Neil Shephard, Torben G. Andersen - 2008
48 Maximum likelihood estimation for stochastic volatility models – Yacine Aït-Sahalia, Robert Kimmel - 2007
28 Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes – Jing-zhi Huang, Liuren Wu - 2003
Spectral GMM . . . – George Chacko, Luis M. Viceira - 2001
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
10 Nonparametric methods in continuous-time finance: A selective review – Zongwu Cai, Yongmiao Hong - 2003
A State Space Approach to the Estimation of Multi-Factor Affine Stochastic Volatility Option Pricing Models – H. Peter Boswijk A, Frank De Jong B - 2003
134 An empirical investigation of continuous-time equity return models – Torben G. Andersen, Luca Benzoni, Jesper Lund, David Bates, Menachem Brenner, Sanjiv Das, Bjørn Eraker, Ron Gallant, Rick Green - 2002
and methods in financial econometrics Contents – Zhibiao Zhao - 801
3 Disentangling the Contribution of Return-Jumps and Volatility-Jumps: Insights from Individual Equity Options – Gurdip Bakshi, Charles Cao, Association Meetings (glasgow, Doron Avramov, Nick Bollen, Peter Carr, Mike Chernov, Steve Figlewski - 2004
74 A Study towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation – Mikhail Chernov, Eric Ghysels, Roger Lee, Especially Ron Gallant, Insightful Discussions We - 1999
210 The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study – Jun Pan, Joe Chen, Mark Ferguson, Peter Glynn, Harrison Hong, Ming Huang, Mike Johannes, George Papanicolaou
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
88 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000