The role of time-varying jump risk premia in pricing stock index options
Jaeho Yun
| Year of publication: |
2011
|
|---|---|
| Authors: | Yun, Jaeho |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 5, p. 833-846
|
| Subject: | Option pricing | Affine jump diffusion | Time-varying jump risk premia | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | CAPM | Aktienindex | Stock index | Index-Futures | Index futures | Stochastischer Prozess | Stochastic process |
| 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://www.econbiz.de/10009492529