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Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns.
- Published in:
- Review of Finance, 2023, v. 27, n. 1, p. 289, doi. 10.1093/rof/rfac003
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- Publication type:
- Article
Option pricing with random risk aversion.
- Published in:
- Review of Quantitative Finance & Accounting, 2022, v. 58, n. 4, p. 1665, doi. 10.1007/s11156-021-01034-8
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- Publication type:
- Article
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
- Published in:
- Management Science, 2017, v. 63, n. 6, p. 1814, doi. 10.1287/mnsc.2015.2379
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- Article
Estimating dynamic copula dependence using intraday data.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2015, v. 19, n. 4, p. 501, doi. 10.1515/snde-2013-0123
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- Publication type:
- Article
Portfolio risk assessment using multivariate extreme value methods.
- Published in:
- Extremes, 2014, v. 17, n. 4, p. 531, doi. 10.1007/s10687-014-0194-9
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- Publication type:
- Article
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing.
- Published in:
- Review of Derivatives Research, 2014, v. 17, n. 2, p. 241, doi. 10.1007/s11147-013-9093-5
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- Publication type:
- Article
Executive Summaries.
- Published in:
- 2009
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- Publication type:
- Abstract
Tranching and Rating.
- Published in:
- European Financial Management, 2009, v. 15, n. 5, p. 891, doi. 10.1111/j.1468-036X.2009.00515.x
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- Publication type:
- Article