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Option Pricing with Recurrent Variance Risk Aversion
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/fut.21821openalex-snapshot
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
inferredcites →https://doi.org/10.1002/jae.1234openalex-snapshot
Realized GARCH: a joint model for returns and realized measures of volatility
inferredcites →https://doi.org/10.1002/jae.1279openalex-snapshot
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
inferredcites →https://doi.org/10.1007/s10436-017-0317-9openalex-snapshot
The Pricing Kernel Puzzle: Survey and Outlook
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.010openalex-snapshot
Option valuation with conditional skewness
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.036openalex-snapshot
Smile from the past: A general option pricing framework with multiple volatility and leverage components
inferredcites →https://doi.org/10.1016/j.jeconom.2015.06.024openalex-snapshot
A tale of two option markets: Pricing kernels and volatility risk
inferredcites →https://doi.org/10.1016/j.jeconom.2020.03.002openalex-snapshot
The term structure of equity and variance risk premia
inferredcites →https://doi.org/10.1016/j.jeconom.2021.08.002openalex-snapshot
A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters
inferredcites →https://doi.org/10.1016/j.jfineco.2007.12.003openalex-snapshot
Option valuation with long-run and short-run volatility components☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.03.009openalex-snapshot
Returns of claims on the upside and the viability of U-shaped pricing kernels☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.017openalex-snapshot
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
inferredcites →https://doi.org/10.1016/j.jfineco.2012.08.015openalex-snapshot
Realizing smiles: Options pricing with realized volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2012.09.008openalex-snapshot
Probability weighting functions implied in options prices
inferredcites →https://doi.org/10.1016/j.jfineco.2013.11.009openalex-snapshot
Lévy Jump Risk: Evidence from Options and Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2016.04.003openalex-snapshot
The price of variance risk
inferredcites →https://doi.org/10.1016/j.jfineco.2025.104106openalex-snapshot
Conditional risk and the pricing kernel
inferredcites →https://doi.org/10.1016/s0304-405x(02)00128-9openalex-snapshot
Empirical pricing kernels
inferredcites →https://doi.org/10.1016/s0304-4076(99)00016-0openalex-snapshot
Nonparametric risk management and implied risk aversion
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-snapshot
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1017/s0022109015000642openalex-snapshot
Heterogeneity in Beliefs and Volatility Tail Behavior
inferredcites →https://doi.org/10.1017/s0022109025000122openalex-snapshot
Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks
inferredcites →https://doi.org/10.1080/07350015.1995.10524599openalex-snapshot
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1080/07350015.2015.1038543openalex-snapshot
Exponential GARCH Modeling With Realized Measures of Volatility
inferredcites →https://doi.org/10.1080/07350015.2019.1604371openalex-snapshot
A Stochastic Volatility Model With Realized Measures for Option Pricing
inferredcites →https://doi.org/10.1093/jjfinec/nbac033openalex-snapshot
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
inferredcites →https://doi.org/10.1093/jjfinec/nbx022openalex-snapshot
Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*
inferredcites →https://doi.org/10.1093/rapstu/rax021openalex-snapshot
Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*
inferredcites →https://doi.org/10.1093/rfs/13.2.433openalex-snapshot
Recovering Risk Aversion from Option Prices and Realized Returns
inferredcites →https://doi.org/10.1093/rfs/13.3.585openalex-snapshot
A Closed-Form GARCH Option Valuation Model
inferredcites →https://doi.org/10.1093/rfs/hhae049openalex-snapshot
Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty
inferredcites →https://doi.org/10.1093/rfs/hhaf063openalex-snapshot
Option Pricing with Time-Varying Volatility Risk Aversion
inferredcites →https://doi.org/10.1093/rfs/hhm070openalex-snapshot
State Dependence Can Explain the Risk Aversion Puzzle
inferredcites →https://doi.org/10.1093/rfs/hht033openalex-snapshot
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
inferredcites →https://doi.org/10.1093/rfs/hhx095openalex-snapshot
Pricing Kernel Monotonicity and Conditional Information
inferredcites →https://doi.org/10.1111/0022-1082.215228openalex-snapshot
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.1979.tb02070.xopenalex-snapshot
The Pricing of Contingent Claims in Discrete Time Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05127.xopenalex-snapshot
Measuring and Testing the Impact of News on Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05219.xopenalex-snapshot
Recovering Probability Distributions from Option Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00647.xopenalex-snapshot
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00666.xopenalex-snapshot
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01241.xopenalex-snapshot
Model Specification and Risk Premia: Evidence from Futures Options
inferredcites →https://doi.org/10.1111/jofi.12068openalex-snapshot
Uncertainty, Time‐Varying Fear, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.13020openalex-snapshot
Time Variation of the Equity Term Structure
inferredcites →https://doi.org/10.1198/jbes.2009.06122openalex-snapshot
Volatility Components, Affine Restrictions, and Nonnormal Innovations
inferredcites →https://doi.org/10.1287/mnsc.1110.1424openalex-snapshot
Pricing Kernels with Stochastic Skewness and Volatility Risk
inferredcites →https://doi.org/10.2307/2938260openalex-snapshot
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.2307/3003264openalex-snapshot
The Valuation of Uncertain Income Streams and the Pricing of Options
inferredcites →https://doi.org/10.3115/v1/d14-1179openalex-snapshot
Learning Phrase Representations using RNN Encoder–Decoder for Statistical Machine Translation
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