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- W53360850 abstract "Publisher Summary This chapter examines the joint effect of discontinuity and predictability of an asset's returns on the prices of options in a continuous-time jump-diffusion framework. When modeling financial asset returns, empirical stylized facts drawn from both static behavior and dynamic behavior of state variables are the major factors in the consideration of model specification and selection. A model's ability to reproduce certain empirical stylized facts is often an important criterion to judge whether such a model represents the true underlying data-generating process (DGP). Apart from the formally justified motivations, any casual observation of the sampling paths of most financial asset returns can reveal discontinuity or jumps over time. Like the autoregressive conditional heteroscedasticity (ARCH)/Generalized Autoregressive Conditional Heteroscedasticity (GARCH) or stochastic volatility (SV) models, the jump-diffusion model can offer a formal link between the description of dynamic path behavior and the explanation of steady-state leptokurtic distributions. The fact that the drift term does not enter into the option pricing formula seems to imply that option prices are irrelevant to the functional form of the drift term. Because predictability of the stochastic process often manifests itself through the specification of drift function, this seems to imply that the predictability of the asset's return is irrelevant for option prices." @default.
- W53360850 created "2016-06-24" @default.
- W53360850 creator A5091806452 @default.
- W53360850 date "2001-01-01" @default.
- W53360850 modified "2023-10-16" @default.
- W53360850 title "Implementing option pricing models when asset returns are predictable and discontinuous" @default.
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- W53360850 doi "https://doi.org/10.1016/b978-075064751-9.50008-4" @default.
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