Option prices in a model with stochastic disaster risk
Sang Byung Seo, Jessica A. Wachter
| Year of publication: |
2019
|
|---|---|
| Authors: | Seo, Sang Byung ; Wachter, Jessica |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 8, p. 3449-3469
|
| Subject: | implied volatilities | consumption disasters | kurtosis | jump diffusions | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Stochastischer Prozess | Stochastic process | Risiko | Risk | CAPM | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2017.2978 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012062624