Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions-Reference-Cited by-同舟云学术

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Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions

Published:2024-09 Issue: Volume:35 Page:100408
ISSN:2405-8513
Container-title:Journal of Commodity Markets
language:en
Short-container-title:Journal of Commodity Markets

Author:

Hilliard Jimmy E.,Hilliard Jitka,Ngo Julie T.D.

Publisher

Elsevier BV

Reference35 articles.

1. Testing option pricing models;Aït Sahalia;J. Financ. Econ.,2004

2. Bitcoin pricing, adoption, and usage: Theory and evidence;Athey;Econometric Model.: Int. Econ. eJ.,2016

3. Empirical performance of alternative option pricing models;Bakshi;J. Finance,1997

4. On jumps in common stock prices and their impact on call option pricing;Ball;J. Finance,1985

5. Cryptocurrency valuation and ethics: a text analytic approach;Barth;J. Manage. Anal.,2020

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