Stock index options pricing under jump patterns driven by market states
Chao-Yang Lin, Huimei Liu, Jia-Ching Lee, and Shih-Kuei Lin
| Year of publication: |
2020
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|---|---|
| Authors: | Lin, Chao-Yang ; Liu, Huimei ; Lee, Jia-Ching ; Lin, Shih-kuei |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 4, p. 840-859
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| Subject: | characteristic function pricing approach | Esscher transform | jump-diffusion process with modulated frequency and amplitude | volatility clustering | volatility smile | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Index-Futures | Index futures | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2018.1563778 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211508