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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options

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Figure

Table 1 describes the properties of the final sample of SP 500 calls to be used for our empirical study
Table 2: Properties of the final sample of the Nasdaq 100 calls
Figure 1: (a) Standard and Poor (SP 500) calls implied volatility surface, June 8, 2007, (b) SP 500 calls implied volatility surface,
Table 4: Estimation of structural parameters for CEV and Kou models – SP 500 options
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