A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
| Year of publication: |
1 October 2017
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| Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Nguyen, Duy |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 262.2017, 1 (1.10.), p. 381-400
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| Subject: | Finance | Volatility derivatives | Regime-switching | Jump diffusion | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.04.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011785790