Timothy L. Krehbiel

Oklahoma State University, Stillwater

Stillwater, OK 74078-0555

United States

SCHOLARLY PAPERS

4

DOWNLOADS

711

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Jump-Diffusion Models with Correlated Brownian Motion and Compound Poisson Processes

Number of pages: 30 Posted: 14 Nov 2010
Weiping Li and Timothy L. Krehbiel
Civil Aviation Flight University of China and Oklahoma State University, Stillwater
Downloads 337 (114,584)
Citation 2

Abstract:

Loading...

2.

Expected Returns, Risk Premia, and Volatility Surfaces Implicit in Option Market Prices

Number of pages: 16 Posted: 21 Mar 2008 Last Revised: 14 Nov 2010
Antonio Camara, Timothy L. Krehbiel and Weiping Li
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Civil Aviation Flight University of China
Downloads 236 (165,480)
Citation 2

Abstract:

Loading...

Jump-diffusion, option prices, correlated jumps and diffusions, expected returns, risk premium, smile effect, term structure of implied volatilities

3.

Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads

Review of Finance, Forthcoming
Number of pages: 43 Posted: 19 Jan 2014 Last Revised: 16 Apr 2017
Siamak Javadi, Ali Nejadmalayeri and Timothy L. Krehbiel
University of Texas - Rio Grande Valley, University of Wyoming - College of Business and Oklahoma State University, Stillwater
Downloads 138 (264,793)
Citation 2

Abstract:

Loading...

Fed Fund Rate, FOMC, Corporate Bonds, Credit Spreads, Monetary Policy Actions

4.

Displaced Jump-Diffusion Option Valuation

Journal of Derivatives, Vol. 17, No. 2, 2009, https://doi.org/10.3905/JOD.2009.17.2.041
Posted: 25 Apr 2008 Last Revised: 21 May 2019
Antonio Camara, Timothy L. Krehbiel and Weiping Li
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Civil Aviation Flight University of China

Abstract:

Loading...