Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Warren Volk-Makarewicz, Svetlana Borovkova, Bernd Heidergott
| Year of publication: |
2022
|
|---|---|
| Authors: | Volk-Makarewicz, Warren ; Borovkova, Svetlana ; Heidergott, Bernd |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 2 (16.4.), p. 740-751
|
| Subject: | Finance | Gradient estimation | Model risk | Option pricing | t-test | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Schätzung | Estimation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.07.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013206895