Information arrival as price jumps

DOI10.1080/02331934.2011.619264zbMATH Open1253.91172OpenAlexW3123692965MaRDI QIDQ3145035FDOQ3145035

Vassilis Polimenis

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.619264

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zbMATH Keywords

informationnoise tradingprice jumpasymmetric betaLévy processreturn skewstock beta

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Volatility for Lévy Processes
• Option pricing when underlying stock returns are discontinuous
• Estimating the degree of activity of jumps in high frequency data
• Measuring Systematic Risk Using Implicit Beta

Cited In (3)

• Persistence of jump-induced tail risk and limits to arbitrage
• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
• Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index

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