Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hui Hong, Zhicun Bian, Naiwei Chen
| Year of publication: |
2020
|
|---|---|
| Authors: | Hong, Hui ; Bian, Zhicun ; Chen, Naiwei |
| 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. 54.2020, p. 1-10
|
| Subject: | Stochastic volatility | Leverage | Markov Chain Monte Carlo | Option | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Hongkong | Hong Kong | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666125