Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Sun, Zhiqiang 

Working Paper
Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan?s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and ...
Working Papers (Old Series) , Paper 0619

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Keywords

PREVIOUS / NEXT