A new closed-form formula for pricing European options under a skew Brownian motion
Song-Ping Zhu and Xin-Jiang He
| Year of publication: |
2018
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|---|---|
| Authors: | Zhu, Song-Ping ; He, Xin-Jiang |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 10/12, p. 1063-1074
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| Subject: | non-normal distribution | Option pricing | skew Brownian motion | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2017.1339104 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012244440