Reference: | Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricing models. The Journal of Finance, 52, 2003-2049.
Bates, D. S. (1991). The crash of ’87: was it expected? The evidence from options markets. The Journal of Finance, 46(3), 1009-1044.
Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9, 69-107.
Bégin, J. F., Dorion, C., and Gauthier, G. (2020). Idiosyncratic jump risk matters: Evidence from equity returns and options. The Review of Financial Studies, 33, 155-211.
Bekaert, G., Engstrom, E., and Ermolov, A. (2015). Bad environments, good environments: A non-Gaussian asymmetric volatility model. Journal of Econometrics, 186(1), 258-275.
Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Po- litical Economy, 81, 637-654.
Bollerslev, T., Tauchen, G., and Zhou, H. (2009). Expected stock returns and variance risk premia. Review of Financial Studies, 22, 4463-4492.
Brennan, M. (1979). The pricing of contingent claims in discrete time models. The Journal of Finance, 34, 53-68.
Carr, P., and L. Wu. (2007). Stochastic skew in currency options. Journal of Financial Economics, 86, 213-247.
Chang, H. L., Chang, Y. C., Cheng, H. W., Peng, P. H., and Tseng, K. (2019). Jump variance risk: Evidence from option valuation and stock returns. Journal of Futures Markets, 39, 890-915.
Christoffersen, P., Heston, S., and Jacobs, K. (2013). Capturing option anomalies with a variance dependent pricing kernel. The Review of Financial Studies, 26, 1963-2006.
Christoffersen, P., Jacobs, K., and Ornthanalai, C. (2012). Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options. Journal of Financial Economics, 106, 447–472.
Chernov, M., and Ghysels, E. (2000). A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56, 407-458.
Duan, J. C. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13-32.
Duffie, D., Pan, J., and Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 68, 1343-1376.
Durham, G., J. Geweke, and P. Ghosh. (2015). A comment on Christoffersen, Jacobs, and Ornthanalai (2012),“Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options”. Journal of Financial Economics, 115, 210–214.
Eraker, B. (2004). Do stock prices and volatility jump? Reconciling evidence from spot and option prices. Journal of Finance, 59, 1367-1404.
Eraker, B., Johannes, M.S., and Polson, N. (2003). The impact of jumps in volatility and returns. Journal of Finance, 58, 1269-1300.
Feunou, B., Jahan-Parvar, M. R., and Tédongap, R. (2013). Modeling market downside volatility. Review of Finance, 17(1), 443-481.
Giglio, S., and Xiu, D. (2021). Asset pricing with omitted factors. Journal of Political Economy, 129(7), 1947-1990.
Harvey, C. R., and Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327-343.
Heston, S. L., and Nandi, S. (2000). A closed-form GARCH option valuation model. Review of Financial Studies, 13, 585–625.
Hull, J., and White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
Kilic, M., and Shaliastovich, I. (2019). Good and bad variance premia and expected returns. Management Science, 65, 2522-2544.
Kou, S. G. (2002). A jump diffusion model for option pricing. Management Science, 48, 1086–1101.
Kou, S. G., and Wang, H. (2004). Option pricing under a double exponential jump diffusion model. Management Science, 50, 1178–1192.
Kou, S., Yu, C., and Zhong, H. (2017). Jumps in equity index returns before and during the recent financial crisis: A Bayesian analysis. Management Science, 63, 988-1010.
Li, J., and Zinna, G. (2018). The variance risk premium: Components, term structures, and stock return predictability. Journal of Business and Economic Statistics, 36(3), 411-425.
Malik, S., and Pitt, M. K. (2011). Particle filters for continuous likelihood evaluation and maximisation. Journal of Econometrics, 165, 190-209.
Merton, Robert C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
Newey, W. K., and McFadden, D. (1994). Chapter 36 large sample estimation and hypothesis testing. In Handbook of Econometrics, 2111-2245. Elsevier.
Newey, W. K., and West, K. D. (1994). Automatic lag selection in covariance matrix estimation. The Review of Economic Studies, 61(4), 631-653.
Ornthanalai, C. (2014). Lévy jump risk: Evidence from options and returns. Journal of Financial Economics, 112, 69-90.
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. The Bell Journal of Economics, 7, 407–425.
Trolle, A., and E. Schwartz. (2009). Unspanned stochastic volatility and the pricing of com- modity derivatives. Review of Financial Studies, 22, 4423–4461.
Yang, X. (2018). Good jump, bad jump, and option valuation. Journal of Futures Markets, 38, 1097-1125. |