Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Xing Jin, Yi Hong
| Year of publication: |
2023
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|---|---|
| Authors: | Jin, Xing ; Hong, Yi |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-11
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| Subject: | Jump intensity | Jump-diffusion volatility models | Markov Chain Monte Carlo (MCMC) | Self-exciting jump process | Variance swaps | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Swap | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102606 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014457699