Essays about: "Barndorff-Nielsen and Shephard test"

Found 1 essay containing the words Barndorff-Nielsen and Shephard test.

  1. 1. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Agnieszka Pszczola; Grzegorz Walachowski; [2009]
    Keywords : Bipower variation; Barndorff-Nielsen and Shephard test; Stylized facts; Double exponential jump-diffusion model; Kou model; Options pricing; Cumulant matching;

    Abstract : The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. READ MORE