Matches in SemOpenAlex for { <https://semopenalex.org/work/W2138842879> ?p ?o ?g. }
Showing items 1 to 74 of
74
with 100 items per page.
- W2138842879 abstract "An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods." @default.
- W2138842879 created "2016-06-24" @default.
- W2138842879 creator A5079225170 @default.
- W2138842879 date "1993-12-01" @default.
- W2138842879 modified "2023-10-03" @default.
- W2138842879 title "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options" @default.
- W2138842879 cites W1576326745 @default.
- W2138842879 cites W1973458764 @default.
- W2138842879 cites W1981109455 @default.
- W2138842879 cites W1985500221 @default.
- W2138842879 cites W2033234535 @default.
- W2138842879 cites W2063750298 @default.
- W2138842879 cites W2120022309 @default.
- W2138842879 cites W2151065060 @default.
- W2138842879 cites W2157858527 @default.
- W2138842879 cites W2751862591 @default.
- W2138842879 cites W3021444882 @default.
- W2138842879 cites W2074233357 @default.
- W2138842879 doi "https://doi.org/10.3386/w4596" @default.
- W2138842879 hasPublicationYear "1993" @default.
- W2138842879 type Work @default.
- W2138842879 sameAs 2138842879 @default.
- W2138842879 citedByCount "217" @default.
- W2138842879 countsByYear W21388428792012 @default.
- W2138842879 countsByYear W21388428792013 @default.
- W2138842879 countsByYear W21388428792014 @default.
- W2138842879 countsByYear W21388428792015 @default.
- W2138842879 countsByYear W21388428792016 @default.
- W2138842879 countsByYear W21388428792017 @default.
- W2138842879 countsByYear W21388428792018 @default.
- W2138842879 countsByYear W21388428792019 @default.
- W2138842879 countsByYear W21388428792020 @default.
- W2138842879 countsByYear W21388428792021 @default.
- W2138842879 crossrefType "report" @default.
- W2138842879 hasAuthorship W2138842879A5079225170 @default.
- W2138842879 hasBestOaLocation W21388428791 @default.
- W2138842879 hasConcept C106159729 @default.
- W2138842879 hasConcept C13290067 @default.
- W2138842879 hasConcept C149782125 @default.
- W2138842879 hasConcept C162324750 @default.
- W2138842879 hasConcept C24189920 @default.
- W2138842879 hasConcept C2776988154 @default.
- W2138842879 hasConcept C33923547 @default.
- W2138842879 hasConcept C556758197 @default.
- W2138842879 hasConcept C85393063 @default.
- W2138842879 hasConcept C91602232 @default.
- W2138842879 hasConceptScore W2138842879C106159729 @default.
- W2138842879 hasConceptScore W2138842879C13290067 @default.
- W2138842879 hasConceptScore W2138842879C149782125 @default.
- W2138842879 hasConceptScore W2138842879C162324750 @default.
- W2138842879 hasConceptScore W2138842879C24189920 @default.
- W2138842879 hasConceptScore W2138842879C2776988154 @default.
- W2138842879 hasConceptScore W2138842879C33923547 @default.
- W2138842879 hasConceptScore W2138842879C556758197 @default.
- W2138842879 hasConceptScore W2138842879C85393063 @default.
- W2138842879 hasConceptScore W2138842879C91602232 @default.
- W2138842879 hasLocation W21388428791 @default.
- W2138842879 hasLocation W21388428792 @default.
- W2138842879 hasOpenAccess W2138842879 @default.
- W2138842879 hasPrimaryLocation W21388428791 @default.
- W2138842879 hasRelatedWork W1814362305 @default.
- W2138842879 hasRelatedWork W2071907379 @default.
- W2138842879 hasRelatedWork W2109106140 @default.
- W2138842879 hasRelatedWork W2132243807 @default.
- W2138842879 hasRelatedWork W2154821347 @default.
- W2138842879 hasRelatedWork W2184176858 @default.
- W2138842879 hasRelatedWork W2292964445 @default.
- W2138842879 hasRelatedWork W2783899523 @default.
- W2138842879 hasRelatedWork W2970588134 @default.
- W2138842879 hasRelatedWork W3145905275 @default.
- W2138842879 isParatext "false" @default.
- W2138842879 isRetracted "false" @default.
- W2138842879 magId "2138842879" @default.
- W2138842879 workType "report" @default.