Exchange options under clustered jump dynamics
Year of publication: |
2020
|
---|---|
Authors: | Ma, Yong ; Pan, Dongtao ; Wang, Tianyang |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 6, p. 949-967
|
Subject: | Exchange option | Greeks | Hawkes jump-diffusion process | Implied beta | Optimal hedging | Optionspreistheorie | Option pricing theory | Hedging | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Währungsderivat | Currency derivative | Betafaktor | Beta risk | Griechenland | Greece |
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