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3 research outputs found
Something in the Air: Information Density, News Surprises, and Price Jumps
Author
C V�lkert
D J Bradley
+12 more
Ferdinand Mager
J Jacod
Markus Grabellus
Michael Stein
N Barberis
O E Barndorff-Nielsen
P Veronesi
R C Merton
Roland FFss
S S Lee
T G Andersen
T G Andersen
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Implicit Probability Distribution for WTI Options: The Black Scholes vs. The Semi-Nonparametric Approach
Author
A Abhyankar
A He
+55 more
A Le�n
A M Monteiro
Andrrs Mora-Valencia
C A Brown
C J Corrado
C J Corrado
C Su
C V�lkert
D Backus
D Breeden
D Huang
D Shimko
E A De Souza E Silva
E Fama
E Jondeau
E Jondeau
F Black
F J Fabozzi
F Postali
G C Lim
G Friesen
G Fusai
G Kallis
I Anagnou-Basioudis
I Pe�a
J Birru
J Jackwerth
J Macbeth
J Nikkinen
Javier Perote
L M Cort�s
L M Cort�s
L S Rompolis
L S Rompolis
Lina Cortes
M Leippold
M Rubinstein
M Taboga
N Antonakakis
N V Hartvig
P Christoffersen
P Christoffersen
P Dennis
P Feng
R Jarrow
R Kiesel
R Ritchey
S R Das
T-M ��guez
W R Melick
W.-N Lai
X Liu
X Liu
Y A�t-Sahalia
Y Du
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
The Fine Structure of Variance: Consistent Pricing of VIX Derivatives
Author
A B Trolle
A Gr�nbichler
+62 more
A Kaeck
A Kostakis
A Lewis
A Lewis
A Malz
A Sepp
A Sepp
B Eraker
B Eraker
B Eraker
B Figure
C Bardgett
C V�lkert
Clemens Völkert
D Amengual
D Bates
D Bates
D Breeden
D Duffie
D Egloff
F Black
F Black
G Bakshi
G Dotsis
G Jiang
G Jiang
H Chen
J Detemple
J Mencia
J Pan
J Zhang
J Zhang
K Demeterfi
L Bergomi
L Johnson
M Abramowitz
M Britten-Jones
M Broadie
N Branger
Nicole Branger
P Carr
P Carr
P Carr
P Carr
P Christoffersen
P Christoffersen
R Bliss
R Bliss
R Cont
R Van Der Merwe
R Whaley
S Figlewski
S Heston
S J Julier
W Newey
Y Ait-Sahalia
Y Lin
Y Lin
Y Wang
Y.-H Park
Z Lu
Z Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
No full text
Crossref