The role of time-varying jump risk premia in pricing stock index options
Year of publication: |
2011
|
---|---|
Authors: | Yun, Jaeho |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 5, p. 833-846
|
Subject: | Option pricing | Affine jump diffusion | Time-varying jump risk premia | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Schätzung | Estimation | Index-Futures | Index futures |
-
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho, (2014)
-
Wu, Feng, (2015)
-
The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun, (2002)
- More ...
-
Essays On The Specification Testing For Dynamic Asset Pricing Models
Yun, Jaeho, (2009)
-
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho, (2014)
-
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho, (2014)
- More ...