20 Pages · Posted: 12 Mar 2015 · Citations: 10 | We investigate the relative importance of market default risk in explaining the time variation of the S&P 500 Index option-implied risk-neutral moments.
25 Pages · Posted: Feb 2013 · Citations: 8 | This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterises the implied volatility functions of S&P 500 Index options in the period 1996–2009.
14 Pages · Posted: Nov 2013 · Citations: 25 | This study investigates valuation effects of mergers and acquisitions in the freight transportation industry.
14 Pages · Posted: Mar 2010 · Citations: 18 | We extend the benchmark nonlinear deterministic volatility regression functions of Dumas et al. (1998) to provide a semi-parametric method where an enhancement of the implied parameter values is used in the parametric option pricing models.
