The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
In Joon Kim; In-Seok Baek; Jaesun Noh; Sol Kim
| Year of publication: |
2007
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|---|---|
| Authors: | Kim, In-joon ; Baek, In-Seok ; Noh, Jaesun ; Kim, Sol |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 29.2007, 1, p. 69-110
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| Subject: | Jump diffusion | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Momentenmethode | Method of moments | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Theorie | Theory | Südkorea | South Korea |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003600092