Cosine willow tree structure under Lévy processes with application to pricing variance derivatives
Year of publication: |
2021
|
---|---|
Authors: | Ma, Junmei ; Xu, Wei ; Yao, Yi |
Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 29.2021, 2, p. 30-60
|
Subject: | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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