Hermite polynomial based expansion of European option prices
Year of publication: |
2014
|
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Authors: | Xiu, Dacheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 179.2014, 2, p. 158-177
|
Subject: | Option valuation | Closed-form expansion | Mean-reversion | Self-exciting jumps | Double exponential jumps | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Derivat | Derivative | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
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