Generalized affine transform on pricing quanto range accrual note
Year of publication: |
2020
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Authors: | Li, Shaoyu ; Huang, Henry He ; Zhang, Teng |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-31
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Subject: | Affine transform | Affine-jump | Stochastic mean | Stochastic volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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