Option pricing in a conditional Bilateral Gamma model
Fabio Bellini; Lorenzo Mercuri
| Year of publication: |
2014
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|---|---|
| Authors: | Bellini, Fabio ; Mercuri, Lorenzo |
| Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 22.2014, 2, p. 373-390
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| Subject: | Bilateral Gamma | Garch | Bilateral Esscher transform | Semianalytical pricing | SPX options | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010356905