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Time-variations in commodity price jumps · Study

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ArticleTime-variations in commodity price jumps

Laszlo Diewald2015

OA

Articlegreen2015

Time-variations in commodity price jumps

Laszlo Diewald · Marcel Prokopczuk · Chardin Wese Simen

23 citations·0/0 files stored·Journal of Empirical Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

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2009Stochastic Volatilityother · 12 shared references 2005Volatility Forecastingreport · 11 shared references 2013The dynamics of commodity pricesarticle · 10 shared references 2003Empirical option pricing: a retrospectionarticle · 9 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 9 shared references 2005Option valuation with conditional skewnessarticle · 9 shared references

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Year2015

Typearticle

Published2015-02-27

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jempfin.2015.02.004

openalex_workW3122179682

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