Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models

DOI10.1080/1350486X.2021.2007145zbMath1490.91217OpenAlexW4210542958MaRDI QIDQ5075238

Dilip B. Madan, King-Hang Wang

Publication date: 10 May 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2021.2007145

zbMATH Keywords

limiting distributionsFourier inversionself-decomposable lawsquasi-infinite divisibilitycrash cliquet

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The economics of time as it is embedded in the prices of options§

Cites Work

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