Matches in SemOpenAlex for { <https://semopenalex.org/work/W2182043767> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W2182043767 abstract "In this paper I extend the familiar geometric Brownian motion (GBM) and Merton’s log-normal jump diffusion (LJD) models of option pricing to a specification consisting of a Gamma distribution and a Beta distribution (GBJD). This specification separates the “good” news from the “bad” news components, which adds to the realism behind the intuition of the two other specifications. I compare the fit and, in particular, the predictive power of the three models and find that in terms of both, the GBJD is the preferred model over the GBM and the LJD." @default.
- W2182043767 created "2016-06-24" @default.
- W2182043767 creator A5021810836 @default.
- W2182043767 date "2011-01-01" @default.
- W2182043767 modified "2023-09-27" @default.
- W2182043767 title "Jump Diffusion Models: Estimation of Fit and Predictive Power" @default.
- W2182043767 cites W1542183466 @default.
- W2182043767 cites W1995522593 @default.
- W2182043767 cites W2017806634 @default.
- W2182043767 cites W2022215099 @default.
- W2182043767 cites W2105443096 @default.
- W2182043767 cites W2168175751 @default.
- W2182043767 cites W2764423065 @default.
- W2182043767 cites W3122167020 @default.
- W2182043767 cites W3124062437 @default.
- W2182043767 cites W3146166473 @default.
- W2182043767 hasPublicationYear "2011" @default.
- W2182043767 type Work @default.
- W2182043767 sameAs 2182043767 @default.
- W2182043767 citedByCount "0" @default.
- W2182043767 crossrefType "journal-article" @default.
- W2182043767 hasAuthorship W2182043767A5021810836 @default.
- W2182043767 hasConcept C105795698 @default.
- W2182043767 hasConcept C111472728 @default.
- W2182043767 hasConcept C112401455 @default.
- W2182043767 hasConcept C121332964 @default.
- W2182043767 hasConcept C121864883 @default.
- W2182043767 hasConcept C132010649 @default.
- W2182043767 hasConcept C138885662 @default.
- W2182043767 hasConcept C149782125 @default.
- W2182043767 hasConcept C2778136018 @default.
- W2182043767 hasConcept C2779664328 @default.
- W2182043767 hasConcept C2780695682 @default.
- W2182043767 hasConcept C33923547 @default.
- W2182043767 hasConcept C62520636 @default.
- W2182043767 hasConceptScore W2182043767C105795698 @default.
- W2182043767 hasConceptScore W2182043767C111472728 @default.
- W2182043767 hasConceptScore W2182043767C112401455 @default.
- W2182043767 hasConceptScore W2182043767C121332964 @default.
- W2182043767 hasConceptScore W2182043767C121864883 @default.
- W2182043767 hasConceptScore W2182043767C132010649 @default.
- W2182043767 hasConceptScore W2182043767C138885662 @default.
- W2182043767 hasConceptScore W2182043767C149782125 @default.
- W2182043767 hasConceptScore W2182043767C2778136018 @default.
- W2182043767 hasConceptScore W2182043767C2779664328 @default.
- W2182043767 hasConceptScore W2182043767C2780695682 @default.
- W2182043767 hasConceptScore W2182043767C33923547 @default.
- W2182043767 hasConceptScore W2182043767C62520636 @default.
- W2182043767 hasLocation W21820437671 @default.
- W2182043767 hasOpenAccess W2182043767 @default.
- W2182043767 hasPrimaryLocation W21820437671 @default.
- W2182043767 hasRelatedWork W1546214498 @default.
- W2182043767 hasRelatedWork W1557608973 @default.
- W2182043767 hasRelatedWork W1979494886 @default.
- W2182043767 hasRelatedWork W2022215099 @default.
- W2182043767 hasRelatedWork W2023403063 @default.
- W2182043767 hasRelatedWork W2102254188 @default.
- W2182043767 hasRelatedWork W2116569334 @default.
- W2182043767 hasRelatedWork W2133244168 @default.
- W2182043767 hasRelatedWork W2272370486 @default.
- W2182043767 hasRelatedWork W2556170446 @default.
- W2182043767 hasRelatedWork W2972558521 @default.
- W2182043767 hasRelatedWork W3096436663 @default.
- W2182043767 hasRelatedWork W3103002743 @default.
- W2182043767 hasRelatedWork W3120092704 @default.
- W2182043767 hasRelatedWork W3122043353 @default.
- W2182043767 hasRelatedWork W3122842341 @default.
- W2182043767 hasRelatedWork W3123565428 @default.
- W2182043767 hasRelatedWork W3123616020 @default.
- W2182043767 hasRelatedWork W3171275626 @default.
- W2182043767 hasRelatedWork W3186417116 @default.
- W2182043767 isParatext "false" @default.
- W2182043767 isRetracted "false" @default.
- W2182043767 magId "2182043767" @default.
- W2182043767 workType "article" @default.