What is beneath the surface? : option pricing with multifrequency latent states
Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher, Markus Leippold
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Calvet, Laurent E. ; Fearnley, Marcus ; Fisher, Adlai ; Leippold, Markus |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 498-511
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| Subject: | Markov-switching multifractal | Particle filter | Regime-switching | Stochastic volatility | Jump-risk premium | Option pricing | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011499779