Jump variance risk: Evidence from option valuation and stock returns-Reference-Cited by-同舟云学术

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Jump variance risk: Evidence from option valuation and stock returns

Published:2019-04-22 Issue:7 Volume:39 Page:890-915
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Chang Hsuan‐Ling¹,Chang Yen‐Cheng¹²^ORCID,Cheng Hung‐Wen³,Peng Po‐Hsiang⁴,Tseng Kevin⁵

Affiliation:

1. Department of FinanceNational Taiwan UniversityTaipei Taiwan

2. Center for Research in Econometric Theory and ApplicationsNational Taiwan UniversityTaipei Taiwan

3. Department of Financial Engineering and Actuarial MathematicsSoochow UniversityTaipei Taiwan

4. Institute of StatisticsNational Tsing Hua UniversityHsinchu Taiwan

5. School of BusinessUniversity of KansasLawrence Kansas

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22009

Reference43 articles.

1. Modeling financial contagion using mutually exciting jump processes

2. Handbook of the economics of finance 2013 Elsevier North Holland Amsterdam The Netherlands T. G. Andersen T. Bollerslev P. F. Christoffersen F. X. Diebold G. M. Constantinides M. Harris R. M. Stulz Financial risk measurement for financial risk management pp. 1127 1220

3. Stock Return Predictability: Is it There?

4. The Cross-Section of Volatility and Expected Returns

5. Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Determining bid-ask prices for options with stochastic illiquidity and applications to index options;Pacific-Basin Finance Journal;2024-04

2. Upside and downside correlated jump risk premia of currency options and expected returns;Financial Innovation;2023-05-03

3. Approximate pricing of American exchange options with jumps;Journal of Futures Markets;2022-02-16

4. Volatility and jump risk in option returns;Journal of Futures Markets;2020-03-03

5. Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options;SSRN Electronic Journal;2017

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