pricing kernels
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VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels

2019 ◽  
Vol 27 (1) ◽  
pp. 110-127 ◽  
Author(s):  
Xinglin Yang ◽  
Peng Wang ◽  
Ji Chen
Keyword(s):  
Vix Futures ◽  
Futures Pricing ◽  
Pricing Kernels

scholarly journals Consistent Valuation Across Curves Using Pricing Kernels

Risks ◽  
2018 ◽  
Vol 6 (1) ◽  
pp. 18 ◽  
Author(s):  
Andrea Macrina ◽  
Obeid Mahomed
Keyword(s):  
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

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
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