Information arrival as price jumps

DOI10.1080/02331934.2011.619264zbMath1253.91172OpenAlexW3123692965MaRDI QIDQ3145035

Vassilis Polimenis

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.619264

zbMATH Keywords

informationLévy processnoise tradingprice jumpasymmetric betareturn skewstock beta

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (2)

A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps ⋮ Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index

Cites Work

• The Pricing of Options and Corporate Liabilities
• Estimating the degree of activity of jumps in high frequency data
• Stochastic Volatility for Lévy Processes
• Measuring Systematic Risk Using Implicit Beta
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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