Pricing average and spread options under local-stochastic volatility jump-diffusion models
Year of publication: |
2019
|
---|---|
Authors: | Shiraya, Kenichiro ; Takahashi, Akihiko |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 1, p. 303-333
|
Subject: | average options | local volatility models | stochastic volatility models | jump-diffusion models | spread options | asymptotic expansions | approximation formula | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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