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Two essays on asset pricing and options market
作者: Huimin Zhao
DOI:
10.5353/TH_B4150839
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参考文章
(16)
1.
Dilip Madan, Peter Carr,
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE
Research Papers in Economics.
pp. 163- 191 ,(2001)
2.
Liuren Wu, Peter P. Carr,
Variance Risk Premia
SSRN Electronic Journal.
,(2004) ,
10.2139/SSRN.577222
3.
Alan Kraus, Robert H. Litzenberger,
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS
Journal of Finance.
,vol. 31, pp. 1085- 1100 ,(1976) ,
10.1111/J.1540-6261.1976.TB01961.X
4.
Kresimir Demeterfi, Emanuel Derman, Michael Kamal, Joseph Zou,
A Guide to Volatility and Variance Swaps
Journal of Derivatives.
,vol. 6, pp. 9- 32 ,(1999) ,
10.3905/JOD.1999.319129
5.
Jeffrey M. Wooldridge, Tim Bollerslev, Robert F. Engle,
A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy.
,vol. 96, pp. 116- 131 ,(1988) ,
10.1086/261527
6.
Robert E. Whaley,
Return and Risk of CBOE Buy Write Monthly Index
Journal of Derivatives.
,vol. 10, pp. 35- 42 ,(2002) ,
10.3905/JOD.2002.319194
7.
Robert F. Engle, David M. Lilien, Russell P. Robins,
Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model
Econometrica.
,vol. 55, pp. 391- 407 ,(1987) ,
10.2307/1913242
8.
ROBERT C. SCOTT, PHILIP A. HORVATH,
On The Direction of Preference for Moments of Higher Order Than The Variance
Journal of Finance.
,vol. 35, pp. 915- 919 ,(1980) ,
10.1111/J.1540-6261.1980.TB03509.X
9.
Jin E. Zhang, Yi Xiang,
The implied volatility smirk
Quantitative Finance.
,vol. 8, pp. 263- 284 ,(2008) ,
10.1080/14697680601173444
10.
MARK RUBINSTEIN,
Implied Binomial Trees
Journal of Finance.
,vol. 49, pp. 771- 818 ,(1994) ,
10.1111/J.1540-6261.1994.TB00079.X
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The University of Hong Kong Libraries
2008 年,
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