A common jump factor stochastic volatility model
Márcio Poletti Laurini, Roberto Baltieri Mauad (Dept. of Economics, FEA-RP USP, Brazil)
| Year of publication: |
February 2015
|
|---|---|
| Authors: | Laurini, Márcio Poletti ; Mauad, Roberto Baltieri |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 12.2015, p. 2-10
|
| Subject: | Stochastic volatility | MCMC | Jump process | Regime changes | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2014.12.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011551744