Option valuation with conditional skewness

DOI10.1016/j.jeconom.2005.01.010zbMath1337.62321OpenAlexW3124367289MaRDI QIDQ292018

Kris Jacobs, Peter Christoffersen, Steven L. Heston

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2003s-50.pdf

zbMATH Keywords

jumpsGARCHdiscrete-time modelcontinuous-time limitout-of-sample

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Empirical option pricing: A retrospection
• Modeling volatility persistence of speculative returns: a new approach
• Post-'87 crash fears in the S\&P 500 futures option market
• ARCH models as diffusion approximations
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• Option valuation with infinitely divisible distributions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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