Concepedia

The role of the variance premium in Jump-GARCH option pricing models

Suk Joon Byun, Byoung Hyun Jeon, Byungsun Min, Sun‐Joong Yoon

Journal of Banking & Finance · 2015 · 23 citations · 57 references

DOI

Concepts

References

57

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

The Cross‐Section of Volatility and Expected Returns

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations

, , +17