On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - Elsevier
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - research.polyu.edu.hk
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the Relationship between Conditional Jump Intensity and Diffusive Volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - repository.ust.hk
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of empirical finance, 2016 - ira.lib.polyu.edu.hk
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - ideas.repec.org
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - infona.pl
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …
On the relationship between conditional jump intensity and diffusive volatility
G Li, C Zhang - Journal of Empirical Finance, 2016 - econpapers.repec.org
In standard options pricing models that include jump components to capture large price
changes, the conditional jump intensity is typically specified as an increasing function of the …
changes, the conditional jump intensity is typically specified as an increasing function of the …