Upside and downside correlated jump risk premia of currency options and expected returns
Year of publication: |
2023
|
---|---|
Authors: | He, Jie-Cao ; Chang, Hsing-Hua ; Chen, Ting-Fu ; Lin, Shih-kuei |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 9.2023, 1, Art.-No. 90, p. 1-58
|
Subject: | Correlated jumps | Currency option | Jump-diffusion process | Risk premia | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Devisenoption | Währungsderivat | Currency derivative | Volatilität | Volatility | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income |
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