Pricing Bermudan variance swaptions using multinomial trees
Honglei Zhao, Rupak Chatterjee, Thomas Lonon, and Ionuţ Florescu
| Year of publication: |
2019
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|---|---|
| Authors: | Zhao, Honglei ; Chatterjee, Rupak ; Lonon, Thomas ; Florescu, Ionuţ |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2019, 3, p. 22-34
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| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| 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/10012306151