de Jong, de Jong, C.M.; Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2002
framework is based on a regime jump model that disentangles mean-reversion from the spikes. In the model the spikes are truly … time-specific events and therefore independent from the mean-reverting price process. This closely resembles the … the independence of the two price processes in the model, we break derivative prices down in a mean-reverting value and a …