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
|
|---|---|
| Authors: | Wang, Shin-yun ; Chuang, Ming-Che ; Lin, Shih-kuei ; Shyu, So-De |
| 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 |
Online Resource
| 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