Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Year of publication: |
2014
|
---|---|
Authors: | Gobet, Emmanuel ; Hok, Julien |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 2, p. 1-32
|
Subject: | Hybrid derivatives | best-of options | inflation derivatives | local volatility model | expansion formula | closed-form solutions | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Inflation | Volatilität | Volatility | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
-
EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
GOBET, EMMANUEL, (2014)
-
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Hok, Julien, (2018)
-
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih, (2014)
- More ...
-
EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
GOBET, EMMANUEL, (2014)
-
Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo
Hok, Julien, (2021)
-
Hok, Julien, (2019)
- More ...