Pricing discrete path-dependent options under a double exponential jump-diffusion model
Cheng-Der Fuh; Sheng-Feng Luo; Ju-Fang Yen
| Year of publication: |
2013
|
|---|---|
| Authors: | Fuh, Cheng-der ; Luo, Sheng-feng ; Yen, Ju-fang |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 2702-2713
|
| Subject: | Barrier options | Lookback options | Jump diffusion models | Continuity correction | Laplace transform | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Experiment | Black-Scholes-Modell | Black-Scholes model |
| 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/10009776395