Asymmetric Jump Processes: Option Pricing Implications
Author:
Publisher
Elsevier BV
Reference19 articles.
1. A Simplified Jump Process for Common Stock Returns;C Ball;Journal of Financial and Quantitative Analysis,1983
2. On Jumps in Common Stock Prices and Their Impact on Call Option Pricing;C Ball;Journal of Finance,1985
3. Empirical Performance of Alternative Option Pricing Models;G Bakshi;Journal of Finance,1997
4. American Call Options under Jump-Diffusion Processes
5. The Crash of '87: Was It Expected? The Evidence from Options Markets;D Bates;Journal of Finance,1991
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1. Option pricing with a dynamic fat-tailed model;Journal of Derivatives & Hedge Funds;2014-08
2. Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets;Journal of Economic Dynamics and Control;2013-09
3. Investor Sentiment and Option Prices;Review of Financial Studies;2007-11-20
4. Investor Sentiment and Option Prices;SSRN Electronic Journal;2005
5. An Empirical Assessment of the Double Exponential Jump-Diffusion Process;SSRN Electronic Journal;2004
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