Pricing virtual currency-linked derivatives with time-inhomogeneity
Year of publication: |
2021
|
---|---|
Authors: | Lian, Yu-Min ; Chen, Jun-Home |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 71.2021, p. 424-439
|
Subject: | Cryptocurrency option | Dynamic measure change | Forward interest rate | State-dependent heath–jarrow–morton model | State-dependent stochastic volatility model with jumps | Two-factor | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zins | Interest rate |
-
Wu, Tao L., (2011)
-
The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Grzelak, Lech A., (2014)
-
Stochastic Volatility for Interest Rate Derivatives
Kaisajuntti, Linus, (2019)
- More ...
-
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min, (2015)
-
Cojump risks and their impacts on option pricing
Lian, Yu-Min, (2021)
-
Joint dynamic modeling and option pricing in incomplete derivative-security market
Lian, Yu-Min, (2020)
- More ...