Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach

Modeling stock returns and option pricing in the presence of jumps remains a central challenge in financial economics. This paper employs a novel score-driven GARCH-jump model to analyze SSE (Shanghai Stock Exchange) 50 ETF returns and option pricing. The main findings are as follows. First, we use...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Mingfu Shi, Chuanhai Zhang, Qingqing Chen, Wolfgang Karl Härdle
Format:	Article
Language:	English
Published:	MDPI AG 2025-10-01
Subjects:	SSE 50 ETF option score-driven time series models option pricing jumps
Online Access:	https://www.mdpi.com/2227-7390/13/20/3332