Kou jump diffusion model : an application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 index options
Year of publication: |
2016
|
---|---|
Authors: | Abbasi, Wajih ; Hájek, Petr ; Ismailova, Diana ; Yessimzhanova, Saira ; Khelifa, Zouhaier Ben ; Amonov, Kholnazar |
Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 6.2016, 4, p. 1918-1929
|
Subject: | Jump-diffusion | Kou Model | Leptokurtic Feature | Trust-Region-Reflective Algorithm | US Index Options | USA | United States | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Optionsgeschäft | Option trading | Aktienindex | Stock index | Volatilität | Volatility |
-
Stock index volatility expectations implied by call options premia
Rindell, Krister, (1989)
-
Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew
Siddiqi, Hammad, (2015)
-
Biktimirov, Ph.D., CFA, Ernest N., (2019)
- More ...
-
Credit rating modelling by neural networks
Hájek, Petr, (2010)
-
Credit rating analysis using adaptive fuzzy rule-based systems : an industry-specific approach
Hájek, Petr, (2012)
-
Gardiner, Richard, (2019)
- More ...