Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Author:

Chen Ding,Guo Biao,Zhou Guofu

Publisher

Elsevier BV

Reference57 articles.

1. Closed-form implied volatility surfaces for stochastic volatility models with jumps;References A�?ta�?t-Sahalia;Journal of Econometrics,2021

2. Principles of the skew;C Alexander;Risk Magazine,2001

3. Anchoring credit default swap spreads to firm fundamentals;J Bai;Journal of Financial and Quantitative Analysis,2016

4. Empirical performance of alternative option pricing models;G Bakshi;Journal of Finance,1997

5. Delta-hedged gains and the negative market volatility risk premium;G Bakshi;Review of Financial Studies,2003

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