Work

The role of the variance premium in Jump-GARCH option pricing models

Year: 2015

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2015.05.009

Authors: Suk Joon Byun, Byoung Hyun Jeon, Byungsun Min, Sun-Joong Yoon

Institutions: Korea Advanced Institute of Science and Technology, Woori Bank (South Korea), Dongguk University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1898549026

FWCI: 2.553

Cites: 63

Cited by: 24

Related to: 10