Model-free implied volatility under jump-diffusion models
Prof. Dr. Seungmook Choi, Dr. Hongtao Yang
| Year of publication: |
2019
|
|---|---|
| Authors: | Choi, Seung-mook S. ; Yang, Hongtao |
| Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - Vol. 16.2019, 2, p. 1-14
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| Subject: | Jump-diffusion model | Model-free Implied Volatility | Risk-neutral probability density | Volatility index (VIX) | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| 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://ebvufind01.dmz1.zbw.eu/10012030898