Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Year of publication: |
April 2017
|
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Authors: | Leippold, Markus ; Vasiljević, Nikola |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 77.2017, p. 78-94
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Subject: | American options | Early exercise premium | Hyper-exponential jump-diffusion model | Maturity randomization | Jump-diffusion disentanglement | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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