Option pricing with state‐dependent pricing kernel-Reference-Cited by-同舟云学术

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Option pricing with state‐dependent pricing kernel

Published:2022-05-16 Issue:8 Volume:42 Page:1409-1433
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Tong Chen¹^ORCID,Hansen Peter Reinhard²³^ORCID,Huang Zhuo⁴

Affiliation:

1. Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics (WISE) Xiamen University Xiamen China

2. Department of Economics University of North Carolina Chapel Hill North Carolina USA

3. Department of Finance Copenhagen Business School Frederiksberg Denmark

4. National School of Development Peking University Beijing China

Funder

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22338

Reference51 articles.

1. A simple approach for pricing equity options with Markov switching state variables

2. Nonparametric risk management and implied risk aversion

3. Empirical Performance of Alternative Option Pricing Models

4. Returns of claims on the upside and the viability of U-shaped pricing kernels☆

5. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Cited by 4 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. Pricing VIX Futures and Options With Good and Bad Volatility of Volatility;Journal of Futures Markets;2024-08-19

2. On practitioners closed-form GARCH option pricing;International Review of Financial Analysis;2024-07

3. Pricing CBOE VIX in non-affine GARCH models with variance risk premium;Finance Research Letters;2024-04

4. Forecasting Chinese stock market volatility with option-implied risk aversion: Evidence from extended realized EGARCH-MIDAS approach;Pacific-Basin Finance Journal;2024-02

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