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

This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed to...

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Detalles Bibliográficos
Autores principales: He, Jie-Cao, Chang, Hsing-Hua, Chen, Ting-Fu, Lin, Shih-Kuei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10154767/
https://www.ncbi.nlm.nih.gov/pubmed/37192904
http://dx.doi.org/10.1186/s40854-023-00493-3

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10154767/
https://www.ncbi.nlm.nih.gov/pubmed/37192904
http://dx.doi.org/10.1186/s40854-023-00493-3

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