Joint dynamic modeling and option pricing in incomplete derivative-security market
Year of publication: |
2020
|
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Authors: | Lian, Yu-Min ; Chen, Jun-Home |
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. 51.2020, p. 1-19
|
Subject: | Cojump | Correlated bivariate Markov-modulated | Geometric Brownian motion model with jump risks | Gerber-Siu's approach | Joint dynamic modeling | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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