Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options
This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse function of the underlying asset price and c) t...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2016-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/32045/354739?publisher=http-www-cag-edu-tr-ilhan-ozturk |