Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Year of publication: |
[2017]
|
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Authors: | Carr, Peter |
Other Persons: | Wu, Liuren (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Option pricing | implied volatility | leverage effect | volatility feedback | self-exciting | market disruptions | jumps | constant elasticity of variance | time-changed Levy processes | Fast Fourier Transform | Gauss-Hermite quadrature | unscented Kalman filter |
Extent: | 1 Online-Ressource (66 p) |
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Series: | Bloomberg Portfolio Research Paper ; No. 2009-03-FRONTIERS |
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 20, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1306495 [DOI] |
Classification: | F34 - International Lending and Debt Problems ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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