10
H index
10
i10 index
758
Citations
Universität Konstanz | 10 H index 10 i10 index 758 Citations RESEARCH PRODUCTION: 10 Articles 24 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jens Jackwerth. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 3 |
Journal of Finance | 2 |
Journal of Financial and Quantitative Analysis | 2 |
Year | Title of citing document |
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2018 | Matching distributions: Asset pricing with density shape correction. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1312.4227. Full description at Econpapers || Download paper |
2018 | Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028. Full description at Econpapers || Download paper |
2017 | Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). Caccia, Massimo ; Bruno, . In: Papers. RePEc:arx:papers:1707.02019. Full description at Econpapers || Download paper |
2017 | Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach. (2017). Tarnopolski, Mariusz . In: Papers. RePEc:arx:papers:1707.03746. Full description at Econpapers || Download paper |
2018 | Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996. Full description at Econpapers || Download paper |
2018 | Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Villena, Marcelo ; Araneda, Axel A. In: Papers. RePEc:arx:papers:1803.10376. Full description at Econpapers || Download paper |
2019 | A Probabilistic Approach to Nonparametric Local Volatility. (2019). Tegn, Martin ; Roberts, Stephen. In: Papers. RePEc:arx:papers:1901.06021. Full description at Econpapers || Download paper |
2017 | Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose. In: Staff Working Papers. RePEc:bca:bocawp:17-30. Full description at Econpapers || Download paper |
2018 | Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18. Full description at Econpapers || Download paper |
2017 | The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers || Download paper |
2017 | The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015. Full description at Econpapers || Download paper |
2018 | Measuring and trading volatility on the US stock market: A regime switching approach. (2018). Dapena, Jose ; Siri, Julian R ; Serur, Juan A. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:659. Full description at Econpapers || Download paper |
2017 | Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923. Full description at Econpapers || Download paper |
2018 | Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12665. Full description at Econpapers || Download paper |
2017 | Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278. Full description at Econpapers || Download paper |
2017 | Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581. Full description at Econpapers || Download paper |
2017 | Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301. Full description at Econpapers || Download paper |
2018 | Optimal effort under high-water mark contracts. (2018). Zhao, LI ; Ba, Shusong ; Huang, Wenli. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:599-610. Full description at Econpapers || Download paper |
2017 | Functional linear regression with functional response. (2017). Benatia, David ; Carrasco, Marine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291. Full description at Econpapers || Download paper |
2018 | Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186. Full description at Econpapers || Download paper |
2017 | On exact and approximate stochastic dominance strategies for portfolio selection. (2017). Bruni, Renato ; Tardella, Fabio ; Scozzari, Andrea ; Cesarone, Francesco . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:322-329. Full description at Econpapers || Download paper |
2017 | The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380. Full description at Econpapers || Download paper |
2018 | Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests. (2018). Kallio, Markku ; Hardoroudi, Nasim Dehghan. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:675-685. Full description at Econpapers || Download paper |
2018 | DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure. (2018). Zhou, Zhongbao ; Liu, Wenbin ; Jin, Qianying ; Xiao, Helu. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:111-131. Full description at Econpapers || Download paper |
2017 | Earnings announcements and option returns. (2017). Chung, Sung Gon ; Louis, Henock . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:220-235. Full description at Econpapers || Download paper |
2017 | Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Daddona, Stefano ; Marinelli, Carlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35. Full description at Econpapers || Download paper |
2017 | Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269. Full description at Econpapers || Download paper |
2018 | Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189. Full description at Econpapers || Download paper |
2017 | Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457. Full description at Econpapers || Download paper |
2018 | Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600. Full description at Econpapers || Download paper |
2017 | Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138. Full description at Econpapers || Download paper |
2017 | Rewarding risk-taking or skill? The case of private equity fund managers. (2017). Wagner, Niklas ; Buchner, Axel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:14-32. Full description at Econpapers || Download paper |
2018 | Speculation, risk aversion, and risk premiums in the crude oil market. (2018). Li, Bingxin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:64-81. Full description at Econpapers || Download paper |
2017 | The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250. Full description at Econpapers || Download paper |
2017 | Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636. Full description at Econpapers || Download paper |
2018 | Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Li, Xindan ; Yang, Xuewei ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65. Full description at Econpapers || Download paper |
2018 | Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534. Full description at Econpapers || Download paper |
2018 | Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86. Full description at Econpapers || Download paper |
2018 | An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral. (2018). Ma, Chao ; Hou, Tiancheng ; Yao, Haixiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:87-117. Full description at Econpapers || Download paper |
2017 | Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477. Full description at Econpapers || Download paper |
2017 | Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339. Full description at Econpapers || Download paper |
2018 | On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions. (2018). Hong, Hui ; Yang, Jingjing ; Sung, Hao-Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:295-307. Full description at Econpapers || Download paper |
2018 | Hedge fund leverage with stochastic market conditions. (2018). Zhao, LI ; Li, Shenghong ; Yang, Chen ; Huang, Wenli. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:258-273. Full description at Econpapers || Download paper |
2017 | Does Market Experience Attenuate Risk Aversion? Evidence from Landed Farm Households in Ethiopia. (2017). Melesse, Mequanint ; Cecchi, Francesco. In: World Development. RePEc:eee:wdevel:v:98:y:2017:i:c:p:447-466. Full description at Econpapers || Download paper |
2018 | Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623. Full description at Econpapers || Download paper |
2018 | An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688. Full description at Econpapers || Download paper |
2017 | Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood. (2017). Potì, Valerio ; Post, Thierry ; Poti, Valerio. In: Management Science. RePEc:inm:ormnsc:v:63:y:2017:i:1:p:153-165. Full description at Econpapers || Download paper |
2018 | The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers || Download paper |
2018 | On relative performance, remuneration and risk taking of asset managers. (2018). Barucci, Emilio ; Marazzina, Daniele ; Bua, Gaetano. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0324-5. Full description at Econpapers || Download paper |
2018 | A New Predictive Measure Using Agent-Based Behavioral Finance. (2018). Feldman, Todd ; Liu, Shuming. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9652-1. Full description at Econpapers || Download paper |
2018 | The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6. Full description at Econpapers || Download paper |
2018 | Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4. Full description at Econpapers || Download paper |
2018 | The pricing kernel puzzle in forward looking data. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9140-8. Full description at Econpapers || Download paper |
2018 | Forecasting International Index Returns using Option-implied Variables. (2018). Gagnon, Marie-Helene ; Toupin, Dominique ; Power, Gabriel. In: Cahiers de recherche. RePEc:lvl:crrecr:1807. Full description at Econpapers || Download paper |
2018 | The use of option prices in order to evaluate the skewness risk premium. (2018). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0132. Full description at Econpapers || Download paper |
2018 | The properties of a skewness index and its relation with volatility and returns. (2018). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0133. Full description at Econpapers || Download paper |
2017 | Mispriced Index Option Portfolios. (2017). Perrakis, Stylianos ; Constantinides, George ; Czerwonko, Michal . In: NBER Working Papers. RePEc:nbr:nberwo:23708. Full description at Econpapers || Download paper |
2018 | Short-term price density forecasts in the lean hog futures market. (2018). Trujillo-Barrera, Andres ; Garcia, Philip ; Mallory, Mindy L. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:45:y:2018:i:1:p:121-142.. Full description at Econpapers || Download paper |
2017 | What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models. (2017). Julliard, Christian ; Taylor, Alex P ; Ghosh, Anisha. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:2:p:442-504.. Full description at Econpapers || Download paper |
2017 | The profiles of merged hedge funds, funds of hedge funds, and CTA. (2017). Gregoriou, Greg N ; Kooli, Maher. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:1:d:10.1057_s41260-016-0002-y. Full description at Econpapers || Download paper |
2018 | Optimal fee structures in hedge funds. (2018). Escobar-Anel, Marcos ; Zagst, Rudi ; Seco, Luis ; Hohn, Vincent. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0094-7. Full description at Econpapers || Download paper |
2017 | The Term Structure of the Price of Variance Risk. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne ; Wang, Yichuan. In: 2017 Meeting Papers. RePEc:red:sed017:1641. Full description at Econpapers || Download paper |
2018 | Rearrangement algorithm and maximum entropy. (2018). Bernard, Carole ; Vanduffel, Steven ; Bondarenko, Oleg. In: Annals of Operations Research. RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2. Full description at Econpapers || Download paper |
2018 | Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y. Full description at Econpapers || Download paper |
2017 | Novel approaches for portfolio construction using second order stochastic dominance. (2017). Valle, Cristiano Arbex ; Mitra, Gautam ; Roman, Diana. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-017-0274-9. Full description at Econpapers || Download paper |
2018 | Determination and estimation of risk aversion coefficients. (2018). Bodnar, Taras ; Zabolotskyy, Taras ; Vitlinskyy, Valdemar ; Okhrin, Yarema. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0317-x. Full description at Econpapers || Download paper |
2018 | Unbiased weighted variance and skewness estimators for overlapping returns. (2018). Taylor, Stephen ; Fang, Ming. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-018-0023-1. Full description at Econpapers || Download paper |
2017 | The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:943-958. Full description at Econpapers || Download paper |
2018 | Unobserved Performance of Hedge Funds. (2018). Agarwal, Vikas ; Weigert, Florian ; Ruenzi, Stefan. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:25. Full description at Econpapers || Download paper |
2018 | Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?. (2018). Bali, Turan G ; Weigert, Florian. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:27. Full description at Econpapers || Download paper |
2017 | OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION. (2017). Zou, Bin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500145. Full description at Econpapers || Download paper |
2017 | SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION. (2017). Härdle, Wolfgang ; Krymova, Ekaterina ; Hardle, Wolfgang Karl ; Belomestny, Denis. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500418. Full description at Econpapers || Download paper |
2018 | Idiosyncratic volatility puzzle: The role of assets interconnections. (2018). Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:228. Full description at Econpapers || Download paper |
2017 | The Swiss francs honeymoon. (2017). Studer-Suter, Rahel ; Janssen, Alexandra . In: ECON - Working Papers. RePEc:zur:econwp:170. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1996 | Recovering Probability Distributions from Option Prices. In: Journal of Finance. [Full Text][Citation analysis] | article | 258 |
2011 | Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence In: Journal of Finance. [Citation analysis] | article | 12 |
2010 | Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2007 | Incentive Contracts and Hedge Fund Management In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 31 |
2006 | Incentive Contracts and Hedge Fund Management.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2005 | Incentive Contracts and Hedge Fund Management.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2014 | Recovering Delisting Returns of Hedge Funds In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 6 |
2012 | Recovering Delisting Returns of Hedge Funds.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2008 | Recovering Delisting Returns of Hedge Funds.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2011 | Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2008 | Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2012 | Pinning in the S&P 500 futures In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2010 | Pinning in the S&P 500 Futures.(2010) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2010 | Improved Portfolio Choice using Second-Order Stochastic Dominance In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 11 |
2015 | Improved Portfolio Choice Using Second-Order Stochastic Dominance.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2011 | The Puzzle of Index Option Returns In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 26 |
2012 | The Puzzle of Index Option Returns.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2008 | Mispricing of S&P 500 Index Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 22 |
2009 | Mispricing of S&P 500 Index Options.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2005 | Mispricing of S&P 500 Index Options.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2000 | Recovering Risk Aversion from Option Prices and Realized Returns. In: Review of Financial Studies. [Citation analysis] | article | 235 |
1996 | Recovering Risk Aversion from Option Prices and Realized Returns..(1996) In: Research Program in Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 235 | paper | |
1998 | Recovering Risk Aversion from Option Prices and Realized Returns.(1998) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 235 | paper | |
2001 | The Price of a Smile: Hedging and Spanning in Option Markets. In: Review of Financial Studies. [Citation analysis] | article | 50 |
1999 | Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review In: MPRA Paper. [Full Text][Citation analysis] | paper | 70 |
1997 | Generalized Binomial Trees In: MPRA Paper. [Full Text][Citation analysis] | paper | 14 |
1996 | Generalized Binomial Trees..(1996) In: Research Program in Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1998 | Generalized Binomial Trees.(1998) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1997 | Artificial Stupidity: A Reply In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2007 | Option Pricing: Real and Risk-Neutral Distributions In: MPRA Paper. [Full Text][Citation analysis] | paper | 9 |
2004 | Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
1995 | Implied Probability Distributions: Empirical Analysis. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 5 |
1996 | Implied Binomial Trees: Generalizations and Empirical Tests. In: Research Program in Finance Working Papers. [Full Text][Citation analysis] | paper | 3 |
2005 | Employee Stock Options: Much More Valuable Than You Thought In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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