Upside and downside correlated jump risk premia of currency options and expected returns.

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-Kuei

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-Kuei.

Afiliação

He JC; Department of Money and Banking, National Chengchi University, Taipei, Taiwan.
Chang HH; Department of Money and Banking, National Chengchi University, Taipei, Taiwan.
Chen TF; Department of Mathematics, National Central University, Taoyuan, Taiwan.
Lin SK; Department of Money and Banking, National Chengchi University, Taipei, Taiwan.

Financ Innov ; 9(1): 90, 2023.

Article em En | MEDLINE | ID: mdl-37192904

Palavras-chave

Correlated jumps; Currency option; Jump-diffusion process; Risk premia

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Texto completo: 1 Coleções: 01-internacional Base de dados: MEDLINE Tipo de estudo: Etiology_studies / Prognostic_studies / Risk_factors_studies Idioma: En Revista: Financ Innov Ano de publicação: 2023 Tipo de documento: Article

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