Pricing multi-asset American option with stochastic correlation coefficient under variance gamma asset price dynamic
Year of publication: |
2020
|
---|---|
Authors: | Mehrdoust, Farshied ; Samimi, Oldouz |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 15.2020, 4, p. 1-25
|
Subject: | Levy process | variance gamma process | Ornstein–Uhlenbeck process | multi-asset American options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
-
First-order calculus and option pricing
Carr, Peter, (2014)
-
Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo, (2014)
-
Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon, (2008)
- More ...
-
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz, (2018)
-
Foreign Exchange Options on Heston-CIR Model Under Levy Process Framework
ASCIONE, GIACOMO, (2022)
- More ...