Stock index options pricing under jump patterns driven by market states
Year of publication: |
2020
|
---|---|
Authors: | Lin, Chao-Yang ; Liu, Huimei ; Lee, Jia-Ching ; Lin, Shih-kuei |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 4, p. 840-859
|
Subject: | characteristic function pricing approach | Esscher transform | jump-diffusion process with modulated frequency and amplitude | volatility clustering | volatility smile | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Stochastischer Prozess | Stochastic process |
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