A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing*
Author:
Affiliation:
1. Mediobanca S.p.A.
2. University of Bologna
3. University of Pisa
4. City University London
5. Capital Fund Management
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/advance-article-pdf/doi/10.1093/jjfinec/nbz001/27713180/nbz001.pdf
Reference42 articles.
1. Disentangling Diffusion from Jumps;Aït-Sahalia;Journal of Financial Economics,2004
2. Modeling Financial Contagion Using Mutually Exciting Jump Processes;Aït-Sahalia;Journal of Financial Economics,2015
3. Testing for Jumps in a Discretely Observed Process;Aït-Sahalia;The Annals of Statistics,2009
4. Roughing it up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility;Andersen;Review of Economics and Statistics,2007
5. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns;Andersen;Journal of Applied Econometrics,2010
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2. Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options;Journal of Financial Econometrics;2023-02-08
3. Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model;Mathematical Problems in Engineering;2021-12-18
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