Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Year of publication: |
2021
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Authors: | Ewald, Christian ; Zou, Yihan |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 294.2021, 2 (16.10.), p. 801-815
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Subject: | Derivatives | Finance | Jump-Diffusion models | Kalman filter | Quasi-Maximum likelihood | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zustandsraummodell | State space model | Rohstoffderivat | Commodity derivative | Statistische Verteilung | Statistical distribution |
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