Common Idiosyncratic Quantile Factors and Asset Prices
Fuente:
arXiv
Saved in:
| Main Authors: | Barunik, Jozef, Nevrla, Matej |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021)
by: Barunik, Jozef, et al.
Published: (2021)
Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021)
by: Babiak, Mykola, et al.
Published: (2021)
Three Remarks On Asset Pricing
by: Olkhov, Victor
Published: (2021)
by: Olkhov, Victor
Published: (2021)
Market-Based Asset Price Probability
by: Olkhov, Victor
Published: (2022)
by: Olkhov, Victor
Published: (2022)
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)
by: Brigida, Matthew
Published: (2026)
Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
by: Serafini, Simone, et al.
Published: (2025)
by: Serafini, Simone, et al.
Published: (2025)
Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
by: Olkhov, Victor
Published: (2024)
by: Olkhov, Victor
Published: (2024)
Unifying Market Microstructure and Dynamic Asset Pricing
by: Lauria, Davide, et al.
Published: (2023)
by: Lauria, Davide, et al.
Published: (2023)
To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
by: Bosi, Stefano, et al.
Published: (2025)
by: Bosi, Stefano, et al.
Published: (2025)
Market-Based Price Autocorrelation
by: Olkhov, Victor
Published: (2022)
by: Olkhov, Victor
Published: (2022)
Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
by: Lindquist, W. Brent, et al.
Published: (2024)
by: Lindquist, W. Brent, et al.
Published: (2024)
Efficient Hamiltonian Simulation for Solving Option Price Dynamics
by: Gonzalez-Conde, Javier, et al.
Published: (2021)
by: Gonzalez-Conde, Javier, et al.
Published: (2021)
Fundamentals of Perpetual Futures
by: He, Songrun, et al.
Published: (2022)
by: He, Songrun, et al.
Published: (2022)
Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)
by: Ling, Patrick
Published: (2025)
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)
by: Ter-Avanesov, Boris, et al.
Published: (2024)
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
by: Soleimani, Hamoon
Published: (2025)
by: Soleimani, Hamoon
Published: (2025)
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
by: Huang, Allen Yikuan, et al.
Published: (2026)
by: Huang, Allen Yikuan, et al.
Published: (2026)
Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
by: Morimoto, Keiichi, et al.
Published: (2026)
by: Morimoto, Keiichi, et al.
Published: (2026)
Fair sharing ratios of Profit and Loss sharing contracts
by: Sagna, Abass
Published: (2025)
by: Sagna, Abass
Published: (2025)
Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
by: Olkhov, Victor
Published: (2023)
by: Olkhov, Victor
Published: (2023)
An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)
by: Schadner, Wolfgang
Published: (2026)
Perpetual Futures Pricing
by: Ackerer, Damien, et al.
Published: (2023)
by: Ackerer, Damien, et al.
Published: (2023)
Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model
by: Olkhov, Victor
Published: (2022)
by: Olkhov, Victor
Published: (2022)
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models
by: Samet, Michael, et al.
Published: (2022)
by: Samet, Michael, et al.
Published: (2022)
Analytic Pricing of SOFR Futures Contracts with Smile and Skew
by: Romero-Bermúdez, Aurelio, et al.
Published: (2024)
by: Romero-Bermúdez, Aurelio, et al.
Published: (2024)
Empirical Models of the Time Evolution of SPX Option Prices
by: Brini, Alessio, et al.
Published: (2025)
by: Brini, Alessio, et al.
Published: (2025)
Pricing Barrier Options with DeepBSDEs
by: Ganesan, Narayan, et al.
Published: (2020)
by: Ganesan, Narayan, et al.
Published: (2020)
Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
by: Cheng, Liexin, et al.
Published: (2024)
by: Cheng, Liexin, et al.
Published: (2024)
Stochastic Expansion for the Pricing of Asian and Basket Options
by: Floc'h, Fabien Le
Published: (2024)
by: Floc'h, Fabien Le
Published: (2024)
A Unifying Approach for the Pricing of Debt Securities
by: Vachon, Marie-Claude, et al.
Published: (2024)
by: Vachon, Marie-Claude, et al.
Published: (2024)
A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing
by: Wang, Ce
Published: (2024)
by: Wang, Ce
Published: (2024)
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
by: Gnawali, Jagdish, et al.
Published: (2024)
by: Gnawali, Jagdish, et al.
Published: (2024)
Feynman-Kac Derivatives Pricing on the Full Forward Curve
by: Mott, Kevin
Published: (2026)
by: Mott, Kevin
Published: (2026)
Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
by: Hou, Liang, et al.
Published: (2024)
by: Hou, Liang, et al.
Published: (2024)
Hedging and Pricing Structured Products Featuring Multiple Underlying Assets
by: Sharma, Anil, et al.
Published: (2024)
by: Sharma, Anil, et al.
Published: (2024)
Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
by: Floc'h, Fabien Le
Published: (2025)
by: Floc'h, Fabien Le
Published: (2025)
Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
by: Halperin, Igor, et al.
Published: (2025)
by: Halperin, Igor, et al.
Published: (2025)
Time Instability of the Fama-French Multifactor Models: An International Evidence
by: Moriya, Koichiro, et al.
Published: (2022)
by: Moriya, Koichiro, et al.
Published: (2022)
Information Leakages in the Green Bond Market
by: Shannon, Darren, et al.
Published: (2025)
by: Shannon, Darren, et al.
Published: (2025)
A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
by: Nechepurenko, Maksym
Published: (2026)
by: Nechepurenko, Maksym
Published: (2026)
Similar Items
-
Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021) -
Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021) -
Three Remarks On Asset Pricing
by: Olkhov, Victor
Published: (2021) -
Market-Based Asset Price Probability
by: Olkhov, Victor
Published: (2022) -
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)