Jump dynamics, spillover effect and option valuation
Zhiyuan Pan, Jiangyu Shuai, Zhilei Liang, Xianchao Sun
| Year of publication: |
2022
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|---|---|
| Authors: | Pan, Zhiyuan ; Shuai, Jiangyu ; Liang, Zhilei ; Sun, Xianchao |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-18
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| Subject: | 50 ETF options | Jump process | Option valuation | Spillover effect | Spillover-Effekt | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Indexderivat | Index derivative | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101717 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534098