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Modeling Chinese stock returns with stable distribution

  • Published:2011-07 Issue:1-2 Volume:54 Page:610-617
  • ISSN:0895-7177
  • Container-title:Mathematical and Computer Modelling
  • language:en
  • Short-container-title:Mathematical and Computer Modelling

Author:

Xu Weidong,Wu Chongfeng,Dong Yucheng,Xiao Weilin

Funder

National Natural Science Foundation of China

Ministry of Education

Humanities and Social Science Youth Foundation of the Ministry of Education of China

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference34 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economics,1973

2. The jump-risk premia implicit in options: evidence from an integrated time-series study;Pan;Journal of Financial Economics,2002

3. The impact of jumps in volatility and returns;Eraker;Journal of Finance,2003

4. Pricing FTSE 100 index options under stochastic volatility;Lin;Journal of Futures Markets,2001

5. Jump diffusion model with application to the Japanese stock market;Maekawa;Mathematics and Computers in Simulation,2008

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