The Impact of Overnight Periods on Option Pricing

M.J. Boes, Feike C. Drost (f.c.drost@uvt.nl) and Bas Werker
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M.J. Boes: Tilburg University, Center For Economic Research

No 2005-1, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Derivative pricing; Jump diffusion; Stochastic volatility (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Impact of Overnight Periods on Option Pricing (2007)
Working Paper: The impact of overnight periods on option pricing (2007)
Working Paper: The Impact of Overnight Periods on Option Pricing (2005)
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