Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Year of publication: |
2019
|
---|---|
Authors: | Fonseca, José da ; Ignatieva, Ekaterina |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 99.2019, p. 45-62
|
Subject: | Affine jump-diffusion models | Volatility indexes | Jump activity | Model specification | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
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