Jump-diffusion models of German stock returns

DOI10.1007/BF02925502zbMath0732.62107MaRDI QIDQ3358110

Michaela Beinert, Siegfried Trautmann

Publication date: 1991

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

asset pricing modelsDAX stock indexobserved return distributions of German stocksPoisson-type jump-diffusion process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Option pricing when underlying stock returns are discontinuous

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