Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options
Year of publication: |
2011
|
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Authors: | van Haastrecht, Alexander |
Other Persons: | Pelsser, Antoon (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (23 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Futures Markets, Vol. 31, No. 2, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 22, 2008 erstellt |
Classification: | C10 - Econometric and Statistical Methods: General. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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