کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098709 | 1376953 | 2013 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets](/preview/png/5098709.png)
چکیده انگلیسی
This paper studies alternative distributions for the size of price jumps in the S&P 500 index. We introduce a range of new jump-diffusion models and extend popular double-jump specifications that have become ubiquitous in the finance literature. The dynamic properties of these models are tested on both a long time series of S&P 500 returns and a large sample of European vanilla option prices. We discuss the in- and out-of-sample option pricing performance and provide detailed evidence of jump risk premia. Models with double-gamma jump size distributions are found to outperform benchmark models with normally distributed jump sizes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 9, September 2013, Pages 1872-1888
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 9, September 2013, Pages 1872-1888
نویسندگان
Andreas Kaeck,