Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets* (Q4555662)
From MaRDI portal
scientific article; zbMATH DE number 6981944
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets* |
scientific article; zbMATH DE number 6981944 |
Statements
Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets* (English)
0 references
20 November 2018
0 references
Lévy jump models
0 references
volatility dynamics
0 references
stock and option markets
0 references
option pricing performance
0 references
