A Jump and Smile Ride : Jump and Variance Risk Premia in Option Pricing
Year of publication: |
2019
|
---|---|
Authors: | Alitab, Dario |
Other Persons: | Bormetti, Giacomo (contributor) ; Corsi, Fulvio (contributor) ; Majewski, Adam (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (46 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 8, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.2631155 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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