7 results
Fast Filtering with Large Option Panels: Implications for Asset Pricing
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- Journal:
- Journal of Financial and Quantitative Analysis , First View
- Published online by Cambridge University Press:
- 13 June 2023, pp. 1-32
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Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 56 / Issue 1 / February 2021
- Published online by Cambridge University Press:
- 10 November 2020, pp. 65-91
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- February 2021
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A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 55 / Issue 4 / June 2020
- Published online by Cambridge University Press:
- 19 July 2019, pp. 1117-1162
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- June 2020
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Volatility and Expected Option Returns
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 55 / Issue 3 / May 2020
- Published online by Cambridge University Press:
- 17 April 2019, pp. 1025-1060
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- May 2020
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The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 49 / Issue 3 / June 2014
- Published online by Cambridge University Press:
- 28 July 2014, pp. 663-697
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- June 2014
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The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 49 / Issue 1 / February 2014
- Published online by Cambridge University Press:
- 11 February 2014, pp. 193-220
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- February 2014
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The Determinants of Credit Default Swap Premia
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 44 / Issue 1 / February 2009
- Published online by Cambridge University Press:
- 01 February 2009, pp. 109-132
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- February 2009
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