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

by Bjørn Eraker
Citations:97 - 2 self

Active Bibliography

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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
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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
THE FACULTY OF GRADUATE STUDIES – Jianqiang Xu - 2005
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
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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
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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