A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Year of publication: |
2023
|
---|---|
Authors: | Carverhill, Andrew ; Luo, Dan |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 64.2023, p. 1-21
|
Subject: | Time-varying jump risk | Markov Chain Monte Carlo | Risk premium | Time-series consistency | Option pricing | Risikoprämie | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Risiko | Risk | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
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