Empirical performance of alternative option pricing models with stochastic volatility and leverage effects
Woon Wook Jang; Young Ho Eom; Don H. Kim
| Year of publication: |
2014
|
|---|---|
| Authors: | Jang, Woon Wook ; Eom, Young Ho ; Kim, Don H. |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 43.2014, 3, p. 432-464
|
| Subject: | Jumps | Option pricing model | S&P 500 Index options | Stochastic volatility | Leverage effects | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Index-Futures | Index futures | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010408040