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Volumn 35, Issue 3, 2006, Pages 81-95

Which daily price is less noisy?

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EID: 33750502836     PISSN: 00463892     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1755-053X.2006.tb00148.x     Document Type: Article
Times cited : (14)

References (18)
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    • Ang, A.1    Hodrick, R.J.2    Xing, Y.3    Zhang, X.4
  • 2
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    • Delta-hedged gains and the negative market volatility risk premium
    • Bakshi, G. and N. Kapadia, 2003, "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," Review of Financial Studies 16, 527-566.
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  • 3
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    • Stock return characteristics, skew laws, and the differential pricing of individual equity options
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    • Bakshi, G.1    Kapadia, N.2    Madan, D.3
  • 4
    • 33750518983 scopus 로고    scopus 로고
    • A theory of volatility spreads
    • Forthcoming
    • Bakshi, G. and D. Madan, 2005, "A Theory of Volatility Spreads," Management Science (Forthcoming).
    • (2005) Management Science
    • Bakshi, G.1    Madan, D.2
  • 5
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F. and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy 81, 637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 8
    • 33750514312 scopus 로고    scopus 로고
    • A tale of two indices
    • Carr, P. and L. Wu, 2006, "A Tale of Two Indices," Journal of Derivatives 13, 13-29.
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    • 41549146107 scopus 로고    scopus 로고
    • Limits of arbitrage, sentiment and pricing kernel: Evidence from index options
    • Han, B., 2004, "Limits of Arbitrage, Sentiment and Pricing Kernel: Evidence from Index Options," Ohio State University Working Paper.
    • (2004) Ohio State University Working Paper
    • Han, B.1
  • 14
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    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    • Heston, S.L., 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies 6, 327-343.
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  • 16
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    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
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    • The jump-risk premia implicit in options: Evidence from an integrated time-series study
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    • Pan, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.