Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models

DOI10.1080/03610926.2019.1662045OpenAlexW2972688203MaRDI QIDQ5078514

Wei Wang, Sheng-Wu Zhou, Miao Han, Xue-Feng Song

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1662045

zbMATH Keywords

option pricingfast Fourier transformjump-diffusionregime-switchingSH50ETF option

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• MS_Regress

Cites Work

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• Efficient Options Pricing Using the Fast Fourier Transform
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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Option pricing when underlying stock returns are discontinuous

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