Browsing Duke Faculty Scholarship by Subject "Jump-diffusions"

Now showing items 1-2 of 2

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (SSRN eLibrary, 1999)

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focused primarily on pure jump processes with constant ...
The performance of alternative valuation models in the OTC currency options market

Bollen, N. P.B; Rasiel, Emma (Journal of International Money and Finance, 2003)

We compare option valuation models based on regime-switching, GARCH, and jump-diffusion processes to a standard “smile” model, in which Black and Scholes (1973) implied volatilities are allowed to vary across strike prices. ...