Quanto pricing beyond Black-Scholes
Year of publication: |
2021
|
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Authors: | Fink, Holger Maria ; Mittnik, Stefan |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 3, Art.-No. 136, p. 1-27
|
Subject: | calibration | Lévy process | Nikkei 225 | normal tempered stable process | parameter stability | quanto options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14030136 [DOI] hdl:10419/239552 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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