Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models (Q5075238): Difference between revisions

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Revision as of 22:19, 28 July 2024

scientific article; zbMATH DE number 7524846
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English
Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models
scientific article; zbMATH DE number 7524846

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    Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models (English)
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    10 May 2022
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    limiting distributions
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    self-decomposable laws
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    Fourier inversion
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    crash cliquet
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    quasi-infinite divisibility
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