Hedging jump risk, expected returns and risk premia in jump-diffusion economies

DOI10.1080/14697688.2014.946439zbMath1398.91604OpenAlexW2080944894MaRDI QIDQ4683104

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Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.946439

zbMATH Keywords

jump-diffusionoption pricing modelexpected returnjumping timehedging jump risk

Mathematics Subject Classification ID

Related Items (1)

Extreme downside risk and market turbulence

Cites Work

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• Financial Modelling with Jump Processes
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• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous

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