Open AccessOptimal Portfolios when Volatility can Jump
Author(s) -
Nicole Branger,
Christian Schlag,
Eva Schneider
Publication year - 2006
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.890580
Subject(s) - jump , volatility (finance) , econometrics , jump diffusion , economics , financial economics , implied volatility , mathematics , physics , quantum mechanics
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