Asset Details
- Identifier:
- fut22049-fig-0002
- Description:
- RNDs of the affine jump‐diffusion models. The figure shows RNDs of the affine jump‐diffusion models. These RNDs are generated by affine jump‐diffusion models by plugging the parameter estimates presented in Table : into Equation . RND, risk‐neutral density; SV, stochastic volatility model with no jumps; SVJJ, stochastic volatility model with simultaneous and correlated price and volatility jumps; SVJ‐V, stochastic volatility model with volatility jumps only; SVJ‐Y, stochastic volatility model with price jumps only; SVJ‐Y‐V, stochastic volatility model with simultaneous but uncorrelated price and volatility jumps [Color figure can be viewed at wileyonlinelibrary.com]
- License:
- Rights Managed
- Rights Holder:
- John Wiley & Sons, Inc.
- License Rights Holder:
- © 2019 Wiley Periodicals, Inc.
- Asset Type:
- Image
- Asset Subtype:
- Chart/Graph
- Image Orientation:
- Landscape
- Image Dimensions:
- 1200 x 608
- Image File Size:
- 137 KB
- Creator:
- Shan Lu
- Credit:
- Lu, S. (2019). Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions. Journal of Futures Markets, 39(12), 1587-1612. https://doi.org/10.1002/fut.22049.
- Collection:
- Keywords:
- Restrictions:
- Property Release:
- No
- Model Release:
- No
- Purchasable:
- Yes
- Sensitive Materials:
- No
- Article Title:
- Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
- Article Authors:
- Shan Lu
- Article Copyright Year:
- 2019
- Publication Title:
- Journal of Futures Markets
- Publication Volume:
- 39
- Publication Issue:
- 12
- Publication Date:
- 12/01/2019
- DOI:
- https://doi.org/10.1002/fut.22049
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