Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Wendong Zheng and Pingping Zeng
| Year of publication: |
December 2016
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|---|---|
| Authors: | Zheng, Wendong ; Zeng, Pingping |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 344-373
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| Subject: | 3/2 model | triple joint transition density | timer options | variance derivatives | discrete monitoring | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1285242 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704259