Search Results - subject:"affine jump diffusion models"

Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013203083

Density forecast evaluations via a simulation-based dynamic probability integral transformation

Yun, Jaeho - In: Journal of financial econometrics 18 (2020) 1, pp. 24-58

Persistent link: https://www.econbiz.de/10012180381

Jump activity analysis for affine jump-diffusion models : evidence from the commodity market

Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62

Persistent link: https://www.econbiz.de/10012162294

Jumps in equity index returns before and during the recent financial crisis : a Bayesian analysis

Kou, Steven; Yu, Cindy; Zhong, Haowen - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 988-1010

Persistent link: https://www.econbiz.de/10011672793

Equity-credit modeling under affine jump-diffusion models with jump-to-default

Chung, Tsz Kin; Kwok, Yue-Kuen - In: Journal of financial engineering 1 (2014) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10010508080

Diagnosing affine models of options pricing: Evidence from VIX

Li, Gang; Zhang, Chu - In: Journal of Financial Economics 107 (2013) 1, pp. 199-219

Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability …. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is …) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as …

Persistent link: https://www.econbiz.de/10011039265

Diagnosing affine models of options pricing : evidence from VIX

Li, Gang; Zhang, Chu - In: Journal of financial economics 107 (2013) 1, pp. 199-219

Persistent link: https://www.econbiz.de/10009715829