Open AccessJump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
Author(s) -
Pedro SantaClara,
Shu Yan
Publication year - 2004
Language(s) - English
Resource type - Reports
DOI - 10.3386/w10912
Subject(s) - volatility (finance) , risk premium , economics , jump , financial economics , volatility risk premium , econometrics , stochastic volatility , physics , quantum mechanics
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