The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models
Shih-Kuei Lin, Jin-Lung Peng, Wei-Hsiung Chao, An-Chi Wu
| Year of publication: |
July 2016
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|---|---|
| Authors: | Lin, Shih-kuei ; Peng, Jin Lung ; Chao, Wei-Hsiung ; Wu, An-Chi |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 217-235
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| Subject: | Markov-modulated jump models | EM-gradient algorithm | SEM algorithm | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672951