scholarly journals Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

2014 ◽  
Author(s):  
Kadir G. Babaoglu ◽  
Peter Christoffersen ◽  
Steven L. Heston ◽  
Kris Jacobs
Keyword(s):  
Nonlinear Pricing ◽  
Option Valuation ◽  
Fat Tails ◽  
Pricing Kernels

scholarly journals Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*

2017 ◽  
Vol 8 (2) ◽  
pp. 183-231 ◽  
Author(s):  
Kadir Babaoğlu ◽  
Peter Christoffersen ◽  
Steven Heston ◽  
Kris Jacobs
Keyword(s):  
Option Valuation ◽  
Fat Tails ◽  
Pricing Kernels

Implied Pricing Kernels: An Alternative Approach for Option Valuation

2013 ◽  
Vol 35 (2) ◽  
pp. 127-147 ◽  
Author(s):  
Doojin Ryu ◽  
Jangkoo Kang ◽  
Sangwon Suh
Keyword(s):  
Option Valuation ◽  
Alternative Approach ◽  
Pricing Kernels

Economic Implications of Nonlinear Pricing Kernels

2017 ◽  
Vol 63 (10) ◽  
pp. 3361-3380 ◽  
Author(s):  
Caio Almeida ◽  
René Garcia
Keyword(s):  
Nonlinear Pricing ◽  
Economic Implications ◽  
Pricing Kernels
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