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Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing

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References

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1987Tests of an American Option Pricing Model on the Foreign Currency Options Market

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131 cited

1981A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns110 cited

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2004High Stakes in High Technology: High‐Tech Market Values as Options25 cited
2009Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry18 cited