A forward started jump-diffusion model and pricing of cliquet style exotics
| Year of publication: |
2010
|
|---|---|
| Authors: | Drimus, Gabriel |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 2, p. 125-140
|
| Publisher: |
Springer |
| Subject: | Exotic options | Forward volatility smiles | Variance swaps | Cliquets |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008526468