Lévy jump risk : evidence from options and returns
Chayawat Ornthanalai
| Year of publication: |
2014
|
|---|---|
| Authors: | Ornthanalai, Chayawat |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 112.2014, 1, p. 69-90
|
| Subject: | Lévy process | Discrete-time | GARCH | Option valuation | Risk premium | Optionspreistheorie | Option pricing theory | Risikoprämie | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Risiko | Risk | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010375952