Exchange options and spread options with stochastically correlated underlyings
Year of publication: |
2022
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Authors: | Wang, Xingchun |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 29.2022, 12, p. 1060-1068
|
Subject: | Exchange options | GARCH models | spread options | stochastic correlation | stochastic volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Optionsgeschäft | Option trading | Volatilität | Volatility | ARCH-Modell | ARCH model | Derivat | Derivative |
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