Smooth ambiguity preferences and asset prices with a jump-diffusion process

DOI10.1080/14697688.2021.2016922zbMath1491.91154OpenAlexW4206623621MaRDI QIDQ5079378

Masataka Suzuki

Publication date: 27 May 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.2016922

zbMATH Keywords

asset pricingimplied volatilityjump-diffusion processsmooth ambiguity preferencesvariance premium

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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