Model-free implied volatility under jump-diffusion models
Year of publication: |
2019
|
---|---|
Authors: | Choi, Seung-mook S. ; Yang, Hongtao |
Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - Vol. 16.2019, 2, p. 1-14
|
Subject: | Jump-diffusion model | Model-free Implied Volatility | Risk-neutral probability density | Volatility index (VIX) | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
-
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael, (2015)
-
Jagannathan, Raj, (2018)
-
Lin, Xenos Chang-Shuo, (2024)
- More ...
-
YANG, HONGTAO, (2007)
-
A novel approach to the valuation of American options
Allegretto, Walter, (2002)
-
A novel approach to the valuation of American options
Allegretto, Walter, (2002)
- More ...