On the Performance of the Comonotonicity Approach for Pricing Asian Option in Some Benchmark Models from Equities and Commodities
Year of publication: |
2014
|
---|---|
Authors: | Chen, Jilong |
Other Persons: | Ewald, Christian-Oliver (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Benchmarking |
Extent: | 1 Online-Ressource (38 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 6, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2391772 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Interest Rates Benchmark Reform and Options Markets
Piterbarg, Vladimir, (2020)
-
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer, (2006)
-
Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V., (2006)
- More ...
-
Chen, Jilong, (2016)
-
Time Dependent Volatility in Futures Contract Options
Chen, Jilong, (2018)
-
Chen, Jilong, (2017)
- More ...