Option valuation with observable volatility and jump dynamics
Peter Christoffersen, Bruno Feunou, Yoontae Jeon
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Christoffersen, Peter F. ; Feunou, Bruno ; Jeon, Yoontae |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 101-120
|
| Subject: | Dynamic volatility | Dynamic jumps | Realized volatility | Realized jumps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011585489