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Option Prices in a Model with Stochastic Disaster Risk. (2013). Wachter, Jessica ; Seo, Sang Byung .
In: NBER Working Papers.
RePEc:nbr:nberwo:19611.

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  1. The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-07.

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  2. News implied volatility and disaster concerns. (2017). Manela, Asaf ; Moreira, Alan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:123:y:2017:i:1:p:137-162.

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  3. Crash Beliefs From Investor Surveys. (2016). Shiller, Robert ; Goetzmann, William ; Kim, Dasol.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22143.

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  4. Disaster risk and preference shifts in a New Keynesian model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène.
    In: MPRA Paper.
    RePEc:pra:mprapa:65643.

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  5. The risk premia embedded in index options. (2015). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:117:y:2015:i:3:p:558-584.

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  6. Disaster Risk and Preference Shifts in a New Keynesian Model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène.
    In: Working Papers.
    RePEc:cii:cepidt:2015-16.

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  7. The Price of Political Uncertainty: Theory and Evidence from the Option Market. (2014). Pastor, Lubos ; Kelly, Bryan ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19812.

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  8. Learning about Rare Disasters: Implications For Consumption and Asset Prices. (2014). Kejak, Michal ; Pakos, Michal .
    In: Working Papers.
    RePEc:msl:workng:1002.

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  9. The Price of Political Uncertainty: Theory and Evidence from the Option Market. (2014). Pastor, Lubos ; Kelly, Bryan ; Veronesi, Pietro.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9822.

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  10. Learning about Rare Disasters: Implications for Consumptions and Asset Prices. (2014). Pakoš, Michal ; Pakos, Michal ; Kejak, Michal ; Gillman, Max.
    In: CEU Working Papers.
    RePEc:ceu:econwp:2014_2.

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  11. Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices. (2014). Pakoš, Michal ; Pakos, Michal ; Kejak, Michal ; Gillman, Max.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp507.

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  12. The Price of Political Uncertainty: Theory and Evidence from the Option Market. (2014). Pastor, Lubos ; Kelly, Bryan T. ; Veronesi, Pietro.
    In: Working Papers.
    RePEc:bfi:wpaper:2014-001.

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  13. The Risk Premia Embedded in Index Options. (2014). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-56.

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  47. Recovering the probability density function of asset prices using garch as diffusion approximations. (2001). Mele, Antonio ; Fornari, Fabio.
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  49. Beyond implied volatility: extracting information from option prices. (1998). Cont, Rama.
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  50. What Data Should Be Used to Price Options?. (1998). Ghysels, Eric ; Chernov, Mikhail.
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