Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Year of publication: |
2021
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Authors: | Wang, Shin-yun ; Chuang, Ming-Che ; Lin, Shih-kuei ; Shyu, So-De |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 56.2021, 1, p. 25-51
|
Subject: | Markov switching | Jump risks | Volatility smile | Particle filter algorithm | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Risiko | Risk |
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