APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING

125 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Realizing smiles: Options pricing with realized volatility (2013, unknown): “…returns (see Merton (1976), Bates (1996), Bates (2000), Pan (2002), Huang (2004) and Bates (2006) in continuous-time and Maheu and McCurdy (2004), Duan et al. (2006) and Christoffersen et al. (2010b) in discrete-time) and jumps in volatility (see Eraker (2004), Eraker et al. (2003) and Broadie…”
Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, unknown): “9 Duan, Ritchken, and Sun (2006) provide examples of convergence of discrete time GARCH models to continuous time stochastic volatility models. indexed (real) bonds, which also determine inflation swap rates.”
GARCH option pricing: A semiparametric approach (2008, methodology): “For example, Christoffersen et al (2004) proposed a GARCH model with Inverse Gaussian driving noises, Menn and Rachev (2005) used a smoothly truncated stable distribution, while Duan et al (2006) studied GARCH models with jumps.”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, unknown): “Duan, Ritchken, and Sun (2006) provide a risk-neutralization of a discrete-time model with jumps, but they do not allow for time-varying jump intensities and higher-moment dynamics.”