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The fine structure of equity-index option dynamics

Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546

Persistent link: https://www.econbiz.de/10011499756

Jump activity analysis for affine jump-diffusion models : evidence from the commodity market

Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62

Persistent link: https://www.econbiz.de/10012162294

Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581651

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

Persistent link: https://www.econbiz.de/10011378591

Portfolio optimisation with jumps : illustration with a pension accumulation scheme

Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137

Persistent link: https://www.econbiz.de/10011544926

Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models

Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157

Persistent link: https://www.econbiz.de/10011547000

Simulation of tempered stable Lévy bridges and its applications

Kim, Kyoung-Kuk; Kim, Sojung - In: Operations research 64 (2016) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011485601

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753

Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing

Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10011523937

Mixed hitting-time models

Abbring, Jaap H. - 2009

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...

Persistent link: https://www.econbiz.de/10011372965

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