The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models
Year of publication: |
July 2016
|
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Authors: | Lin, Shih-kuei ; Peng, Jin Lung ; Chao, Wei-Hsiung ; Wu, An-Chi |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 217-235
|
Subject: | Markov-modulated jump models | EM-gradient algorithm | SEM algorithm | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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