An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities
Chunhui Qiao, Xiangwei Wan, Nian Yang
| Year of publication: |
2025
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| Authors: | Qiao, Chunhui ; Wan, Xiangwei ; Yang, Nian |
| Published in: |
Operations research letters : a journal of INFORMS devoted to the rapid publication of concise contributions in operations research. - Amsterdam [u.a.] : Elsevier Science, ISSN 0167-6377, ZDB-ID 1467065-3. - Vol. 59.2025, Art.-No. 107253, p. 1-7
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| Subject: | Double-exponential jumps | GARCH stochastic volatility model | Lévy jumps | Option panel | Penalized nonlinear least squares estimation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2025.107253 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015358884