The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The jump-risk premia implicit in options: evidence from an integrated time-series study
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
How Sovereign Is Sovereign Credit Risk?
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011) · American Economic Journal: Macroeconomics · doi:10.1257/mac.3.2.75 · Cited by 1,083
Self-citationBOLLERSLEV, T., & TODOROV, V. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2011.01695.x · Cited by 804
The Price of Political Uncertainty: Theory and Evidence from the Option Market
KELLY, B., PÁSTOR, Ľ., & VERONESI, P. (2016) · The Journal of Finance · doi:10.1111/jofi.12406 · Cited by 760
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
Xing, Y., Zhang, X., & Zhao, R. (2010) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109010000220 · Cited by 710
The Pre‐FOMC Announcement Drift
LUCCA, D. O., & MOENCH, E. (2015) · The Journal of Finance · doi:10.1111/jofi.12196 · Cited by 624
Metadata
- Authors
- Pan, J.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2002-01
- Volume
- 63
- Issue
- 1
- Pages
- 3-50
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2163191305
- Cited by
- 1,656
- References
- 1
- FWCI
- 100.00
- Type
- journal article
- Language
- en
- Open access
- closed
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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How to cite
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- This page
- CoChat. (2026). Citation check: The jump-risk premia implicit in options: evidence from an integrated time-series study. https://app.cochat.ai/papers/10.1016/s0304-405x(01)00088-5
- The paper
- Pan, J. (2002). The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(01)00088-5
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
