Jump-diffusion models of German stock returns

DOI10.1007/BF02925502MaRDI QIDQ3358110zbMATH OpenFDO

Authors Michaela Beinert, Siegfried Trautmann

Publication date 1991

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02925502

zbMATH Keywords

asset pricing modelsDAX stock indexobserved return distributions of German stocksPoisson-type jump-diffusion process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities

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