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Option valuation with conditional skewness

2005290 citationsJournal Article

Authors

Peter Christoffersen · McGill University

Steve Heston · University of Maryland, College Park

Kris Jacobs · Center for Interuniversity Research and Analysis on Organizations

Topics & Keywords

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Publication Details

Published in: Journal of Econometrics

Volume 131, Issue 1-2, pp. 253-284

DOI: 10.1016/j.jeconom.2005.01.010

Field-Weighted Citation Impact: 16.56

Option valuation with conditional skewness | Researchclopedia