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There are 13339 results for: content related to: Jump Diffusion Option Valuation in Discrete Time

  1. The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

    The Journal of Finance

    Volume 46, Issue 3, July 1991, Pages: 1009–1044, DAVID S. BATES

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb03775.x

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    Empirical Performance of Alternative Option Pricing Models

    The Journal of Finance

    Volume 52, Issue 5, December 1997, Pages: 2003–2049, Gurdip Bakshi, Charles Cao and Zhiwu Chen

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02749.x

  3. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models

    The Journal of Finance

    Volume 59, Issue 1, February 2004, Pages: 227–260, Michael Johannes

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6321.2004.00632.x

  4. Option Valuation with Systematic Stochastic Volatility

    The Journal of Finance

    Volume 48, Issue 3, July 1993, Pages: 881–910, KAUSHIK I. AMIN and VICTOR K. NG

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04023.x

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    SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION

    The Journal of Finance

    Volume 20, Issue 4, December 1965, Pages: 587–615, John Lintner

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1965.tb02930.x

  6. Jump-Diffusion Processes and the Term Structure of Interest Rates

    The Journal of Finance

    Volume 43, Issue 1, March 1988, Pages: 155–174, CHANG MO AHN and HOWARD E. THOMPSON

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1988.tb02595.x

  7. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

    The Journal of Finance

    Volume 66, Issue 1, February 2011, Pages: 203–240, DION BONGAERTS, FRANK DE JONG and JOOST DRIESSEN

    Article first published online : 6 JAN 2011, DOI: 10.1111/j.1540-6261.2010.01630.x

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    Model Specification and Risk Premia: Evidence from Futures Options

    The Journal of Finance

    Volume 62, Issue 3, June 2007, Pages: 1453–1490, MARK BROADIE, MIKHAIL CHERNOV and MICHAEL JOHANNES

    Article first published online : 8 MAY 2007, DOI: 10.1111/j.1540-6261.2007.01241.x

  9. Stock Options as Lotteries

    The Journal of Finance

    Volume 69, Issue 4, August 2014, Pages: 1485–1527, BRIAN H. BOYER and KEITH VORKINK

    Article first published online : 18 JUL 2014, DOI: 10.1111/jofi.12152

  10. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion

    The Journal of Finance

    Volume 57, Issue 5, October 2002, Pages: 2075–2112, Yacine Aït-Sahalia

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00489

  11. Uncertainty, Time-Varying Fear, and Asset Prices

    The Journal of Finance

    Volume 68, Issue 5, October 2013, Pages: 1843–1889, ITAMAR DRECHSLER

    Article first published online : 10 SEP 2013, DOI: 10.1111/jofi.12068

  12. On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

    The Journal of Finance

    Volume 40, Issue 1, March 1985, Pages: 155–173, CLIFFORD A. BALL and WALTER N. TOROUS

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1985.tb04942.x

  13. Share Repurchases and Pay-Performance Sensitivity of Employee Compensation Contracts

    The Journal of Finance

    Volume 64, Issue 1, February 2009, Pages: 117–150, ILONA BABENKO

    Article first published online : 23 JAN 2009, DOI: 10.1111/j.1540-6261.2008.01430.x

  14. Efficiency and the Bear: Short Sales and Markets Around the World

    The Journal of Finance

    Volume 62, Issue 3, June 2007, Pages: 1029–1079, ARTURO BRIS, WILLIAM N. GOETZMANN and NING ZHU

    Article first published online : 8 MAY 2007, DOI: 10.1111/j.1540-6261.2007.01230.x

  15. Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options

    The Journal of Finance

    Volume 58, Issue 1, February 2003, Pages: 37–70, Allen M. Poteshman and Vitaly Serbin

    Article first published online : 12 FEB 2003, DOI: 10.1111/1540-6261.00518

  16. A Nonlinear Factor Analysis of S&P 500 Index Option Returns

    The Journal of Finance

    Volume 61, Issue 5, October 2006, Pages: 2325–2363, CHRISTOPHER S. JONES

    Article first published online : 19 SEP 2006, DOI: 10.1111/j.1540-6261.2006.01059.x

  17. Reverse Survivorship Bias

    The Journal of Finance

    Volume 68, Issue 3, June 2013, Pages: 789–813, JUHANI T. LINNAINMAA

    Article first published online : 20 MAY 2013, DOI: 10.1111/jofi.12030

  18. Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

    The Journal of Finance

    Volume 60, Issue 5, October 2005, Pages: 2283–2331, JAIME CASASSUS and PIERRE COLLIN-DUFRESNE

    Article first published online : 16 SEP 2005, DOI: 10.1111/j.1540-6261.2005.00799.x

  19. The Impact of Large Portfolio Insurers on Asset Prices

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1943–1955, R. GLEN DONALDSON and HARALD UHLIG

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05135.x

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    Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

    The Journal of Finance

    Volume 59, Issue 3, June 2004, Pages: 1367–1403, Bjørn Eraker

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00666.x