Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Hung-Wen Cheng, Chien-Ling Lo, Jeffrey Tzuhao Tsai
| Year of publication: |
2020
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|---|---|
| Authors: | Cheng, Hung-Wen ; Lo, Chien-Ling ; Tsai, Jeffrey Tzuhao |
| 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. 54.2020, p. 1-12
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| Subject: | GARCH | Conditional jump intensity | Option valuation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.08.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012667167