A jump and smile ride : jump and variance risk premia in option pricing
Dario Alitab, Giacomo Bormetti, Fulvio Corsi and Adam A. Majewski
| Year of publication: |
2020
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|---|---|
| Authors: | Alitab, Dario ; Bormetti, Giacomo ; Corsi, Fulvio ; Majewski, Adam A. |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 1, p. 121-157
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| Subject: | HARG | high-frequency | jumps | option pricing | realized volatility | variance risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012180409