{"id":"https://openalex.org/W1898549026","doi":"https://doi.org/10.1016/j.jbankfin.2015.05.009","title":"The role of the variance premium in Jump-GARCH option pricing models","display_name":"The role of the variance premium in Jump-GARCH option pricing models","publication_year":2015,"publication_date":"2015-06-13","ids":{"openalex":"https://openalex.org/W1898549026","doi":"https://doi.org/10.1016/j.jbankfin.2015.05.009","mag":"1898549026"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2015.05.009","doi":"https://doi.org/10.1016/j.jbankfin.2015.05.009","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2015.05.009","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112083335","display_name":"Suk Joon Byun","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Suk Joon Byun","raw_affiliation_strings":["KAIST Business School, Korea Advanced Institute of Science and Technology, Seoul, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"KAIST Business School, Korea Advanced Institute of Science and Technology, Seoul, Republic of Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Byoung Hyun Jeon","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Byoung Hyun Jeon","raw_affiliation_strings":["KAIST Business School, Korea Advanced Institute of Science and Technology, Seoul, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"KAIST Business School, Korea Advanced Institute of Science and Technology, Seoul, Republic of Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5048419256","display_name":"Byungsun Min","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405259225","display_name":"Woori Bank (South Korea)","ror":"https://ror.org/01y6ccd51","country_code":"KR","type":"company","lineage":["https://openalex.org/I4405259225"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Byungsun Min","raw_affiliation_strings":["Wooribank, Seoul, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Wooribank, Seoul, Republic of Korea","institution_ids":["https://openalex.org/I4405259225"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113947127","display_name":"Sun\u2010Joong Yoon","orcid":"https://orcid.org/0000-0002-7228-4992","observed_orcids":["https://orcid.org/0000-0002-7228-4992"]},"institutions":[{"id":"https://openalex.org/I205490536","display_name":"Dongguk University","ror":"https://ror.org/057q6n778","country_code":"KR","type":"education","lineage":["https://openalex.org/I205490536"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Sun-Joong Yoon","raw_affiliation_strings":["Dongguk Business School, Dongguk University-Seoul, Seoul, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dongguk Business School, Dongguk University-Seoul, Seoul, Republic of Korea","institution_ids":["https://openalex.org/I205490536"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5113947127"],"corresponding_institution_ids":["https://openalex.org/I205490536"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":2.5528,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.90391419,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"59","issue":null,"first_page":"38","last_page":"56"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9843999743461609,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9843999743461609,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.013299999758601189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/variance-premium","display_name":"variance premium","score":0.9829999804496765},{"id":"https://openalex.org/keywords/jump-risk-premium","display_name":"jump risk premium","score":0.9769999980926514},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.8769999742507935},{"id":"https://openalex.org/keywords/stochastic-discount-factor","display_name":"stochastic discount factor","score":0.6790000200271606},{"id":"https://openalex.org/keywords/dynamic-volatility","display_name":"dynamic volatility","score":0.8289999961853027},{"id":"https://openalex.org/keywords/jump-intensity","display_name":"jump intensity","score":0.9879999756813049},{"id":"https://openalex.org/keywords/s-p-500-index-options","display_name":"S&P 500 options","score":0.9160000085830688},{"id":"https://openalex.org/keywords/option-returns","display_name":"option returns","score":0.9620000123977661},{"id":"https://openalex.org/keywords/straddles","display_name":"straddles","score":0.8820000290870667},{"id":"https://openalex.org/keywords/moneyness","display_name":"moneyness","score":0.781000018119812}],"concepts":[{"id":"https://openalex.org/C17483445","wikidata":"https://www.wikidata.org/wiki/Q7915765","display_name":"Variance risk premium","level":5,"score":0.9172375798225403},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.7137240171432495},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6931142210960388},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.6382495164871216},{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.6266502141952515},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5908963084220886},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5693721771240234},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5419259071350098},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5363126397132874},{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.5037536025047302},{"id":"https://openalex.org/C2775933567","wikidata":"https://www.wikidata.org/wiki/Q7912771","display_name":"Value premium","level":3,"score":0.48513373732566833},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.4846354126930237},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.482840359210968},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4581091105937958},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4124293923377991},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36126795411109924},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.340471088886261},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.23521938920021057},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.jbankfin.2015.05.009","doi":"https://doi.org/10.1016/j.jbankfin.2015.05.009","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2015.05.009","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jbfina:v:59:y:2015:i:c:p:38-56","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378426615001466","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":63,"referenced_works":["https://openalex.org/W1541451877","https://openalex.org/W1551549887","https://openalex.org/W1751500752","https://openalex.org/W1965624118","https://openalex.org/W1979575715","https://openalex.org/W1992851135","https://openalex.org/W1999996900","https://openalex.org/W2016195689","https://openalex.org/W2020769838","https://openalex.org/W2025006397","https://openalex.org/W2032533707","https://openalex.org/W2034241492","https://openalex.org/W2045144032","https://openalex.org/W2061339623","https://openalex.org/W2064978316","https://openalex.org/W2069317099","https://openalex.org/W2071774723","https://openalex.org/W2074233357","https://openalex.org/W2077791698","https://openalex.org/W2083685602","https://openalex.org/W2105076382","https://openalex.org/W2113208252","https://openalex.org/W2122063647","https://openalex.org/W2131938998","https://openalex.org/W2133334225","https://openalex.org/W2135386670","https://openalex.org/W2138349601","https://openalex.org/W2141185104","https://openalex.org/W2148231771","https://openalex.org/W2151581476","https://openalex.org/W2158512712","https://openalex.org/W2158829113","https://openalex.org/W2159879678","https://openalex.org/W2160358053","https://openalex.org/W2163191305","https://openalex.org/W2164380597","https://openalex.org/W2166536772","https://openalex.org/W2179356764","https://openalex.org/W3021580254","https://openalex.org/W3022492005","https://openalex.org/W3121177491","https://openalex.org/W3121302379","https://openalex.org/W3121459779","https://openalex.org/W3121514346","https://openalex.org/W3121891244","https://openalex.org/W3122401464","https://openalex.org/W3122467650","https://openalex.org/W3122670268","https://openalex.org/W3123194489","https://openalex.org/W3123332101","https://openalex.org/W3123371657","https://openalex.org/W3123686478","https://openalex.org/W3124175833","https://openalex.org/W3124264635","https://openalex.org/W3124475197","https://openalex.org/W3124654524","https://openalex.org/W3124800962","https://openalex.org/W3124973140","https://openalex.org/W3125616152","https://openalex.org/W3125696988","https://openalex.org/W4246950982","https://openalex.org/W4254957193","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W3125219756","https://openalex.org/W7100868031","https://openalex.org/W1541451877","https://openalex.org/W3124654524","https://openalex.org/W2990130825","https://openalex.org/W4300778301","https://openalex.org/W2148923013","https://openalex.org/W3122035744","https://openalex.org/W3121891244","https://openalex.org/W3210076344"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}