Pricing gold options under Markov-modulated jump-diffusion processes
Year of publication: |
2014
|
---|---|
Authors: | Lin, Shih-kuei ; Lian, Yu-Min ; Liao, Szu-Lang |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 10/12, p. 825-836
|
Subject: | gold price | European gold option | Markov-modulated jump-diffusion process | Esscher transform | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Gold | Stochastischer Prozess | Stochastic process | Goldstandard | Gold standard |
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