An Empirical Examination of Jump Risk in U.S. Equity And Bond Markets

DOI10.1080/10920277.2007.10597485zbMath1480.91287OpenAlexW2000561762MaRDI QIDQ5019769

Geoffrey C. Friesen, Lee M. Dunham

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.unl.edu/financefacpub/3

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (2)

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Consuming durable goods when stock markets jump: a strategic asset allocation approach

Cites Work

• Option pricing when underlying stock returns are discontinuous
• A Regime-Switching Model of Long-Term Stock Returns

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