Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Year of publication: |
2016
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Authors: | Pajor, Anna |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 2/4, p. 189-211
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Subject: | option pricing | stochastic volatility | interest rate | Bayesian inference | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Bayes-Statistik | Zins | Interest rate | Derivat | Derivative |
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