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Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes

Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246

Persistent link: https://www.econbiz.de/10011543918

A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010504752

Robustness of stable volatility strategies

Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151

Persistent link: https://www.econbiz.de/10011575084

Option pricing based on alternative jump size distributions

Chen, Jian; Ma, Chenghu - In: Frontiers of economics in China : selected publications … 11 (2016) 3, pp. 439-467

Persistent link: https://www.econbiz.de/10011597962

A dynamic equilibrium model for U-shaped pricing kernels

Yamazaki, Akira - In: Quantitative finance 18 (2018) 5, pp. 851-875

Persistent link: https://www.econbiz.de/10011907953

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and … stock selection and trading framework identifies overnight price gaps based on an advanced jump test procedure and exploits …

Persistent link: https://www.econbiz.de/10012022240

Game Russian options for double exponential jump diffusion processes

Suzuki, Atsuo; Sawaki, Katsushige - In: Journal of mathematical finance 4 (2014) 1, pp. 47-54

Persistent link: https://www.econbiz.de/10010422891