A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Year of publication: |
2013
|
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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 | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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