Empirical Performance of the Czech and Hungarian Index Options under Jump
Year of publication: |
2001-01
|
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Authors: | Lee, Gabriel S. ; Boss, Michael ; Klisz, Chris |
Institutions: | Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) |
Subject: | Leptokurtosis | Poisson jump-diffusion | GARCH | Equity index |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 91 31 pages |
Classification: | C52 - Model Evaluation and Testing ; G13 - Contingent Pricing; Futures Pricing ; C51 - Model Construction and Estimation |
Source: |
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