Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Shin-Yun Wang, Ming-Che Chuang, Shih-Kuei Lin, So-De Shyu
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Shin-yun ; Chuang, Ming-Che ; Lin, Shih-kuei ; Shyu, So-De |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 56.2021, 1, p. 25-51
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| Subject: | Markov switching | Jump risks | Volatility smile | Particle filter algorithm | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-020-00885-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012432624