The pricing of jump propagation : evidence from spot and options markets
Year of publication: |
2019
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Authors: | Du, Du ; Luo, Dan |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 5, p. 2360-2387
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Subject: | jump propagation | joint pricing | option volatility skew | Hawkes jumps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
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