Jump risk and option liquidity in an incomplete market

Journal of Futures Markets ◽

10.1002/fut.21934 ◽

2018 ◽

Vol 38 (11) ◽

pp. 1334-1369

Author(s):

PeiLin Hsieh ◽

QinQin Zhang ◽

Yajun Wang

Keyword(s):

Incomplete Market ◽

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Jump Risk and Option Liquidity in an Incomplete Market

SSRN Electronic Journal ◽

10.2139/ssrn.2485038 ◽

2015 ◽

Author(s):

PeiLin Billy Hsieh ◽

YanJun Wang

Keyword(s):

Incomplete Market ◽

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Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market

SSRN Electronic Journal ◽

10.2139/ssrn.1107549 ◽

2008 ◽

Author(s):

Peter Feldhütter ◽

Anders B. Trolle ◽

Paul Georg Schneider

Keyword(s):

Interest Rates ◽

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Bond Risk Premia and Realized Jump Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1319126 ◽

2008 ◽

Author(s):

Jonathan H. Wright ◽

Hao Zhou

Keyword(s):

Risk Premia ◽

Jump Risk ◽

Bond Risk Premia ◽

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Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

SSRN Electronic Journal ◽

10.2139/ssrn.1403817 ◽

2009 ◽

Author(s):

Jan Marckhoff ◽

Matthias Muck

Keyword(s):

Electricity Market ◽

Risk Premia ◽

Jump Risk ◽

Term Spread ◽

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The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk

SSRN Electronic Journal ◽

10.2139/ssrn.2667038 ◽

2015 ◽

Author(s):

Antje Brigitte Mahayni ◽

Matthias Muck

Keyword(s):

Life Insurance ◽

Stock Prices ◽

Jump Risk ◽

Insurance Contracts

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The Use of Both the Consumption Tax and the Wage Tax in an Incomplete Market

SSRN Electronic Journal ◽

10.2139/ssrn.995667 ◽

2007 ◽

Author(s):

Hisahiro Naito

Keyword(s):

Incomplete Market ◽

Consumption Tax ◽

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Pricing vulnerable options with jump risk and liquidity risk

Review of Derivatives Research ◽

10.1007/s11147-021-09177-5 ◽

2021 ◽

Author(s):

Xingchun Wang

Keyword(s):

Liquidity Risk ◽

Jump Risk ◽

Vulnerable Options

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Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market

Finance Research Letters ◽

10.1016/j.frl.2019.07.011 ◽

2020 ◽

Vol 34 ◽

pp. 101238

Author(s):

Chi-Wei He ◽

Kuang-Liang Chang ◽

Yung-Jang Wang

Keyword(s):

Hong Kong ◽

Jump Risk ◽

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Downside jump risk and the levels of futures-cash basis

Pacific-Basin Finance Journal ◽

10.1016/j.pacfin.2019.101200 ◽

2019 ◽

Vol 57 ◽

pp. 101200

Author(s):

Chin-Ho Chen

Keyword(s):

Jump Risk ◽

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Continuous-time mean–variance portfolio selection with random horizon in an incomplete market

10.1016/j.automatica.2016.02.017 ◽

2016 ◽

Vol 69 ◽

pp. 176-180 ◽

Author(s):

Siyu Lv ◽

Zhen Wu ◽

Zhiyong Yu

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Incomplete Market ◽

Random Horizon ◽

Mean Variance Portfolio ◽

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