Exchange option pricing under variance gamma-like models
Year of publication: |
2022
|
---|---|
Authors: | Gardini, Matteo ; Sabino, Piergiacomo |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 29.2022, 6, p. 494-521
|
Subject: | derivative pricing | energy markets | exchange options | Lévy processes | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Energiemarkt | Energy market | Optionsgeschäft | Option trading | Volatilität | Volatility |
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