Matches in SemOpenAlex for { <https://semopenalex.org/work/W1700382598> ?p ?o ?g. }
Showing items 1 to 65 of
65
with 100 items per page.
- W1700382598 abstract "This research investigates the importance of including the overnight behavior of thestock price in an option pricing model. During the trading hours stock prices processfollows a stochastic model, which allows for stochastic volatility and randomjumps. We model the overnight behavior by a single jump, which is independentof the intra-day component. In our research we consider Heston, Bates and VarianceGamma models, extend them by introducing an overnight jump and comparetheir performance. We _nd that introducing an overnight component in alreadyexisting option pricing models leads to option prices closer to the ones observedon the market. However the overnight jump alone is not able to capture the stockprice behavior, random jumps should also be included. We _nd that the mostsuccessful of the considered option pricing model uses both a random jump duringthe day and scaled-t distributed overnight jumps, where the improvement from anormally distributed overnight jumps is signi_cant" @default.
- W1700382598 created "2016-06-24" @default.
- W1700382598 creator A5086593297 @default.
- W1700382598 date "2013-01-22" @default.
- W1700382598 modified "2023-09-27" @default.
- W1700382598 title "Distinction between Intra-day and Overnight Stock Return Distribution and its Influence on Option Pricing" @default.
- W1700382598 hasPublicationYear "2013" @default.
- W1700382598 type Work @default.
- W1700382598 sameAs 1700382598 @default.
- W1700382598 citedByCount "0" @default.
- W1700382598 crossrefType "journal-article" @default.
- W1700382598 hasAuthorship W1700382598A5086593297 @default.
- W1700382598 hasConcept C121332964 @default.
- W1700382598 hasConcept C127413603 @default.
- W1700382598 hasConcept C149782125 @default.
- W1700382598 hasConcept C162324750 @default.
- W1700382598 hasConcept C194483076 @default.
- W1700382598 hasConcept C204036174 @default.
- W1700382598 hasConcept C2779664328 @default.
- W1700382598 hasConcept C2780695682 @default.
- W1700382598 hasConcept C33923547 @default.
- W1700382598 hasConcept C62520636 @default.
- W1700382598 hasConcept C78519656 @default.
- W1700382598 hasConcept C85393063 @default.
- W1700382598 hasConcept C91602232 @default.
- W1700382598 hasConceptScore W1700382598C121332964 @default.
- W1700382598 hasConceptScore W1700382598C127413603 @default.
- W1700382598 hasConceptScore W1700382598C149782125 @default.
- W1700382598 hasConceptScore W1700382598C162324750 @default.
- W1700382598 hasConceptScore W1700382598C194483076 @default.
- W1700382598 hasConceptScore W1700382598C204036174 @default.
- W1700382598 hasConceptScore W1700382598C2779664328 @default.
- W1700382598 hasConceptScore W1700382598C2780695682 @default.
- W1700382598 hasConceptScore W1700382598C33923547 @default.
- W1700382598 hasConceptScore W1700382598C62520636 @default.
- W1700382598 hasConceptScore W1700382598C78519656 @default.
- W1700382598 hasConceptScore W1700382598C85393063 @default.
- W1700382598 hasConceptScore W1700382598C91602232 @default.
- W1700382598 hasLocation W17003825981 @default.
- W1700382598 hasOpenAccess W1700382598 @default.
- W1700382598 hasPrimaryLocation W17003825981 @default.
- W1700382598 hasRelatedWork W1497924547 @default.
- W1700382598 hasRelatedWork W1910360388 @default.
- W1700382598 hasRelatedWork W2034474985 @default.
- W1700382598 hasRelatedWork W2052272816 @default.
- W1700382598 hasRelatedWork W2067121932 @default.
- W1700382598 hasRelatedWork W2080944894 @default.
- W1700382598 hasRelatedWork W2099228464 @default.
- W1700382598 hasRelatedWork W2120702528 @default.
- W1700382598 hasRelatedWork W2168990940 @default.
- W1700382598 hasRelatedWork W2803845224 @default.
- W1700382598 hasRelatedWork W2924267275 @default.
- W1700382598 hasRelatedWork W2990130825 @default.
- W1700382598 hasRelatedWork W2997761467 @default.
- W1700382598 hasRelatedWork W3023919878 @default.
- W1700382598 hasRelatedWork W3122125709 @default.
- W1700382598 hasRelatedWork W3123161179 @default.
- W1700382598 hasRelatedWork W3125242230 @default.
- W1700382598 hasRelatedWork W3125841401 @default.
- W1700382598 hasRelatedWork W3158327544 @default.
- W1700382598 hasRelatedWork W82767563 @default.
- W1700382598 isParatext "false" @default.
- W1700382598 isRetracted "false" @default.
- W1700382598 magId "1700382598" @default.
- W1700382598 workType "article" @default.