Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Year of publication: |
2023
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Authors: | Jin, Xing ; Hong, Yi |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-11
|
Subject: | Jump intensity | Jump-diffusion volatility models | Markov Chain Monte Carlo (MCMC) | Self-exciting jump process | Variance swaps | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Swap | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price |
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