A generalization of option pricing to price-limit markets
Year of publication: |
2020
|
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Authors: | Guo, Jia-Hau ; Chang, Lung-Fu |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 23.2020, 2, p. 145-161
|
Subject: | Daily price limit | Analytic solution | Local times | Backward equation | Characteristic function | Fast Fourier transform | Optionspreistheorie | Option pricing theory |
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