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ArticleOptimal portfolios when volatility can jump

Nicole Branger2007

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Articlegreen2007

Optimal portfolios when volatility can jump

Nicole Branger · Christian Schlag · Eva Schneider

59 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns

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2018Optimal investment under VaR-Regulation and Minimum Insurance 2014Performance evaluation of optimized portfolio insurance strategies 2020Volatility jumps and their determinants in REIT returns 2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts 2008The Optimal Demand for Retail Derivatives

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Details

Year2007

Typearticle

Published2007-10-02

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2007.09.015

openalex_workW1985293924

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