Compound Option Valuation with Maturity Varying Volatility, Maturity Varying Yields, and Maturity Varying Interest Rates
Year of publication: |
2019
|
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Authors: | Brooks, Robert |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Fälligkeit | Maturity | ARCH-Modell | ARCH model | Zins | Interest rate |
Extent: | 1 Online-Ressource (99 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 23, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3458918 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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