Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Year of publication: |
2022
|
---|---|
Authors: | Volk-Makarewicz, Warren ; Borovkova, Svetlana ; Heidergott, Bernd |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 2 (16.4.), p. 740-751
|
Subject: | Finance | Gradient estimation | Model risk | Option pricing | t-test | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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