10 citations · 25 across the 8 of their papers we have counts for
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q-fin.PR2022★ 6 cited
Option Pricing with Time-Varying Volatility Risk Aversion
Peter Reinhard Hansen, Chen Tong
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi…
q-fin.PR2021
Option Pricing with State-dependent Pricing Kernel
Chen Tong, Peter Reinhard Hansen, Zhuo Huang
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework. This leads to a novel pricing kernel with a state-dependent…