Quanto option pricing in the presence of fat tails and asymmetric dependence
Year of publication: |
August 2015
|
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Authors: | Kim, Young Shin ; Lee, Jaesung ; Mittnik, Stefan ; Park, Jiho |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 512-520
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Subject: | Quanto option | Multivariate normal tempered stable process | Lévy process | Black-Scholes option pricing | Nikkei 225 dollar options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
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