Jump risk implicit in options market
Qiang Chen, Yu Han, Ying Huang, and George J. Jiang
| Year of publication: |
2025
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|---|---|
| Authors: | Chen, Qiang ; Han, Yu ; Huang, Ying ; Jiang, George J. |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 2, Art.-No. nbaf002, p. 1-42
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| Subject: | implied jumps | option prices | return predictability | large jumps | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Risiko | Risk | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaf002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339175