Jump dynamics, spillover effect and option valuation
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DOI: 10.1016/j.najef.2022.101717
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Cited by:
- Fu, Tong & Huang, Dasen & Feng, Lingbing & Tang, Xiaoping, 2024. "More is better? The impact of predictor choice on the INE oil futures volatility forecasting," Energy Economics, Elsevier, vol. 134(C).
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More about this item
Keywords
Option valuation; Spillover effect; Jump process; 50 ETF options;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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