Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Jimmy E. Hilliard, Jitka Hilliard, Julie T.D. Ngo
| Year of publication: |
2024
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|---|---|
| Authors: | Hilliard, Jimmy E. ; Hilliard, Jitka ; Ngo, Julie T. D. |
| Published in: |
Journal of commodity markets : JCM. - Amsterdam : Elsevier, ISSN 2405-8505, ZDB-ID 2851869-X. - Vol. 35.2024, Art.-No. 100408, p. 1-16
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| Subject: | Jump diffusion | Non-linear least squares | Option pricing | Implied parameters | Simulation | Convenience yield | Bitcoin | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2024.100408 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015077292