Yoontae Jeon - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T12:30:05+00:00Option Valuation with Observable Volatility and Jump Dynamics
https://www.bankofcanada.ca/2015/11/working-paper-2015-39/
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.2015-11-06T12:17:44+00:00enOption Valuation with Observable Volatility and Jump Dynamics2015-11-06Asset pricingWorking Paper 2015-39https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-39.pdfOption Valuation with Observable Volatility and Jump DynamicsPeter ChristoffersenBruno FeunouYoontae JeonNovember 2015GG1G12