Skewness and option prices under stochastic volatility models : the role of shot-noise jumps
Wei Lin, Pakorn Aschakulporn, Yifan Ye and Jin E. Zhang
| Year of publication: |
2025
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| Authors: | Lin, Wei ; Aschakulporn, Pakorn ; Ye, Yifan ; Zhang, Jin E. |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 31.2025, 8, p. 990-1017
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| Subject: | Option pricing | shot-noise process | stochastic volatility | the SKEW index | the VIX index | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2025.2453750 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015445589