Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
收藏NBER1993-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4596
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1993-12-01
