Risk premia and Lévy jumps : theory and evidence
Year of publication: |
2023
|
---|---|
Authors: | Fallahgoul, Hasan ; Hugonnier, Julien ; Mancini, Loriano |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 810-851
|
Subject: | Lévy jumps | time changes | tempered stable law | time series | option pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
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