Jump dynamics, spillover effect and option valuation
Year of publication: |
2022
|
---|---|
Authors: | Pan, Zhiyuan ; Shuai, Jiangyu ; Liang, Zhilei ; Sun, Xianchao |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-18
|
Subject: | 50 ETF options | Jump process | Option valuation | Spillover effect | Optionspreistheorie | Option pricing theory | Spillover-Effekt | Volatilität | Volatility | Optionsgeschäft | Option trading | Indexderivat | Index derivative | Derivat | Derivative | Aktienoption | Stock option | Stochastischer Prozess | Stochastic process |
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