A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Charles Chang; Cheng-Der Fuh; Shih-Kuei Lin
| Year of publication: |
2013
|
|---|---|
| Authors: | Chang, Charles ; Fuh, Cheng-der ; Lin, Shih-kuei |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3204-3217
|
| Subject: | Markov-modulated | Jump diffusion | Volatility clustering | Jump clustering | Volatility smile | Options pricing | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | Derivat | Derivative | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009778451