Lin, Shih-Kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied Financial Economics 24 (2014) 12, pp. 825-836
In this study, we empirically investigate the properties of gold returns, and the European gold options are priced when the underlying gold price dynamics are driven by Markov-modulated jump-diffusion processes. Specifically, the jump events are captured by a compound Poisson process with a...