FRAME, SAMUEL J.; RAMEZANI, CYRUS A. - In: Annals of Financial Economics (AFE) 09 (2014) 03, pp. 1450008-1
The hypothesis that asset returns are normally distributed has been widely rejected. The literature has shown that empirical asset returns are highly skewed and leptokurtic. The affine jump-diffusion (AJD) model improves upon the normal specification by adding a jump component to the price...