Double-Exponential Jumps in Returns and GARCH Diffusion in Volatilities: Evidence from the Chinese SSE 50ETF Option Market
The paper introduces a volatility model that combines double-exponential jumps and GARCH volatility diffusion, effectively capturing major market changes, particularly during the COVID-19 crisis, and suggests its potential use in improving option market fitness and hedging.
Featured in No. 46 on 24 Apr 2024 · 23 days after release · 0 citations today
- Released
- 1 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
- Citations (Semantic Scholar)
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- SSRN 4802448
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