Pricing options on the maximum of two average prices under stochastic volatility models
Xingchun Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Xingchun |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 29.2022, 10, p. 887-894
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| Subject: | Options on the maximum | rainbow options | stochastic correlation | stochastic volatility models | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Experiment |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2021.1896671 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013411818