Anticipating jumps : Decomposition of straddle price
Year of publication: |
2023
|
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Authors: | Chen, Bei ; Quan Gan ; Vasquez, Aurelio |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 149.2023, p. 1-14
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Subject: | Earnings announcements | Jump risk | Straddle decomposition | Ankündigungseffekt | Announcement effect | Dekompositionsverfahren | Decomposition method | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory | Kapitaleinkommen | Capital income | Gewinn | Profit |
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