Work

Option valuation with long-run and short-run volatility components☆

Year: 2008

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2007.12.003

Authors: P CHRISTOFFERSEN, K JACOBS, C ORNTHANALAI, Y WANG

Institutions: Aarhus University, McGill University, Tilburg University, Tsinghua University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Research Foundation, Danmarks Grundforskningsfond, Social Sciences and Humanities Research Council of Canada

OpenAlex ID: W3124565417

FWCI: 29.13

Cites: 83

Cited by: 307

Related to: 10