A self-exciting threshold jump-diffusion model for option valuation
Tak Kuen Siu (Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW, Australia)
| Year of publication: |
July 2016
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|---|---|
| Authors: | Siu, Tak Kuen |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 168-193
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| Subject: | Option valuation | Self-exciting threshold model | Generalized Esscher transform | Piecewise linear partial differential equation | Quadratic approximation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011530946