Wajih Abbasi, Petr Hájek, Diana Ismailova, Saira Yessimzhanova, Zouhaier Ben Khelifa, Kholnazar Amonov

Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options

Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options

International Journal of Economics and Financial Issues

2016-Cilt: 6 Sayı: 4

1918-1929

Jump-diffusion, Kou model, Leptokurtic feature, Trust-region-reflective algorithm, US index options

6170