Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Year of publication: |
2020
|
---|---|
Authors: | Cheng, Hung-Wen ; Lo, Chien-Ling ; Tsai, Jeffrey Tzuhao |
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. 1-12
|
Subject: | GARCH | Conditional jump intensity | Option valuation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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