Information about price and volatility jumps inferred from options prices
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DOI: 10.1002/fut.21914
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References listed on IDEAS
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Citations
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Cited by:
- Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
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