Time-Varying Jump Intensities and Fat Tail Dynamics : Evidence from S&P500 Returns and Options
Year of publication: |
2014
|
---|---|
Authors: | Christoffersen, Peter |
Other Persons: | Jacobs, Kris (contributor) ; Ornthanalai, Chayawat (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
Extent: | 1 Online-Ressource (49 p) |
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Series: | Rotman School of Management Working Paper ; No. 2360737 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 19, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.2360737 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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