The role of the variance premium in Jump-GARCH option pricing models
Suk Joon Byun, Byoung Hyun Jeon, Byungsun Min, Sun-Joong Yoon
| Year of publication: |
October 2015
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| Authors: | Byun, Suk Joon ; Jeon, Byoung Hyun ; Min, Byungsun ; Yoon, Sun-Joong |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 38-56
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| Subject: | Variance premium | Variance-dependent pricing kernel | Jump risk premium | S&P 500 index options | Jump-GARCH option pricing models | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Index-Futures | Index futures | Volatilität | Volatility | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.05.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544288