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13 research outputs found
Retrieving Risk Neutral Moments from Option Prices
Author
A Pagan
B Eraker
+50 more
B J Christensen
C A Hall
C Corrado
C Corrado
C E Shannon
D Breeden
D S Bates
D S Bates
E Ghysels
Elias Tzavalis
F Delbaen
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G Bakshi
G J Jiang
G J Jiang
J Gatheral
J M Campa
K Chourdakis
K Demeter?
L Canina
L S Rompolis
L S Rompolis
L S Rompolis
Leonidas Rompolis
M Britten-Jones
M Rockinger
M Stutzer
Mae M Sc Mae M Sc Sc
N
N P =
N P = 7 N C =
O E Barndor�-Nielsen
P Carr
P Carr
P Carr
P Dennis
P Protter
R Bliss
R Coviello
T Bollerslev
T Bollerslev
V Polkovnichenko
W R Melick
X Wu
Y Ait-Sahalia
Y Ait-Sahalia
Y Ait-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
Risk Premium Effects on Implied Volatility Regressions
Author
= Ku
A Stuart
+34 more
B J Christensen
B J Kang
C Corrado
C G Lamoureux
C J Corrado
D Bates
Elias Tzavalis
G Bakshi
G Bakshi
G J Jiang
H Guo
J C Jackwerth
J Fleming
J H Cochrane
J Rosenberg
J W Mackinnon
K J Arrow
L Canina
L P Hansen
L S Rompolis
Leonidas Rompolis
P Giot
R Becker
R Bliss
R Davidson
R Mehra
S-H Poon
T Bollerslev
T E Day
T G Andersen
W H Greene
X Liu
Y Ait-Sahalia
Y Malevergne
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
Sharing the Love - Motivation & Reward in User-Generated Content
Author
B Brunner
C Corrado
+42 more
C E Shannon
D B Madan
D Breeden
D S Bates
E T Jaynes
F Chabi-Yo
F Chabi-Yo
G Amisano
G Bakshi
G Bakshi
J A Shohat
J Cox
J K Kang
J M Campa
J Rosenberg
L Kullback
L S Rompolis
Leonidas Rompolis
M B Shackleton
M Chernov
M Frontini
M Rockinger
M Rubinstein
M Stutzer
N Agmon
N Agmon
P W Buchen
R Bliss
R Bliss
R Bu
R Garcia
R Jarrow
R W Lee
S L Heston
S L Heston
W R Melick
X Liu
X Wu
X Wu
Y Ait-Sahalia
Y Ait-Sahalia
Y Bao
Publication venue
Publication date
01/01/2009
Field of study
No full text
Crossref
University of Northampton's Research Explorer
Herding and Stochastic Volatility
Author
A D Polyanin
A Kaeck
+27 more
A Sepp
B Eraker
Boris Waelchli
C Bardgett
C Jones
C Necula
Ciprian Necula
D S Bates
E Jondeau
F Black
F Black
G Bakshi
G G Drimus
G Gouri�roux
H Follmer
H Follmer
J Duan
J Pan
L S Rompolis
M Broadie
P Christoffersen
R Storn
S Alfarano
S L Heston
T Andersen
U Horst
Walter Farkas
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
Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach
Author
A Eriksson
A M Monteiro
+32 more
A M Monteiro
B Dumas
D Bates
D Breeden
D Shimko
F Black
G Bakshi
G Gemmill
G Jiang
G Orosi
G Orosi
G Orosi
Greg Orosi
J Birru
J Gatheral
K Hamidieh
L E Rompolis
M Jacquier
M Ludwig
M R Fengler
P Christo�ersen
P Christo�ersen
S A Ross
S Figlewski
S Figlewski
S L Heston
S Markose
U Cherubini
V Henderson
Y A�t-Sahalia
Y A�t-Sahalia
Y A�t-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
Options on Leveraged ETFs: A Window on Investor Heterogeneity
Author
A Eriksson
D Bates
+26 more
D Breeden
D Breeden
David Brown
G Barone-Adesi
G Gemmill
H Shefrin
J Birru
J C Jackwerth
J Jackwerth
J M Harrison
J Rosenberg
L Rompolis
M Avellaneda
Muhammad Malik
P Fernandez
R Bliss
R De Vincent-Humphreys
S Figlewski
S Ross
S Ross
Stephen Figlewski
T Hens
W R Melick
X Liu
Y Ait-Sahalia
Y Ait-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
A Generalized Bachelier Formula for Pricing Basket and Spread Options
Author
A Venkatramanan
C Alexander
+34 more
C Corrado
C Corrado
C Necula
Ciprian Necula
D Gentle
E Jondeau
E Ju
E Jurczenko
E Kirk
E L�vy
E S Rompolis
Fulvia Fringuellotti
G Deelstra
G Muscolino
H Cramer
In M Vanmaele
J Beisser
M A Milevsky
M A Milevsky
M Abramowitz
M Krekel
M Li
P Bjerksund
R Caldana
R Carmona
R Jarrow
S Borovkova
S Borovkova
S.-J Deng
T Paletta
T R Hurd
W Farkas
W Margrabe
W Myller-Lebedeff
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Uso da estrutura a termo das volatilidades implícitas das opções de soja do CME group para previsões em Mato Grosso
Author
ALLEN P. G.
ANDERSEN T. G.
+30 more
BESSLER D. A.
BLACK F.
BLACK F.
CHRISTENSEN B. J.
DAY T. E.
DHUYVETTER K. C.
DORAN J. S.
EGELKRAUT T. E.
EGELKRAUT T. M.
ENGLE R. F.
FACKLER P. L.
FAMA E. F.
FLEMING J.
GARDNER B. L.
GULISASHVILI A.
GULISASHVILI A.
GWILYM O.
HULL J. C.
ISENGILDINA O.
ISENGILDINA-MASSA O.
João Gomes Martines-Filho
LEUTHOLD R. M.
PEDERSEN W. R.
Pedro Valentim Marques
POON S. H.
ROMPOLIS L. S.
SANDERS D. R.
SIMON D. P.
TAYLOR M.
Waldemar Antonio da Rocha de Souza
Publication venue
'FapUNIFESP (SciELO)'
Publication date
Field of study
No full text
Crossref
A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models
Author
A Goyal
A Goyal
+50 more
B Y Chang
C Deck
C N Noussair
D Backus
D Bates
D.-H D Lien
F Chabi-Yo
F Chabi-Yo
G Bekaert
G Bekaert
G Bekaert
G Jiang
I Dew-Becker
I Dew-Becker
I Drechsler
I Drechsler
I Martin
J C Jackwerth
J Campbell
J Campbell
J Wachter
J Wachter
L Eeckhoudt
L Epstein
L Epstein
L S Rompolis
N Garleanu
N Garleanu
P Carr
P Carr
P Carr
R Bansal
R Bansal
R Bansal
R Bansal
R Barro
R Barro
T Beason
T Beason
T Bollerslev
T Bollerslev
T Bollerslev
T Hastie
W Newey
W Newey
W Newey
W Newey
X Gabaix
X Gabaix
Y Ait-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2020
Field of study
No full text
Crossref
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