Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Gerald H.L. Cheang and Len Patrick Dominic M. Garces
| Year of publication: |
2020
|
|---|---|
| Authors: | Cheang, Gerald H. L. ; Garces, Len Patrick Dominic M. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 2, p. 291-310
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| Subject: | American options | Correction | Exchange options | Fourier transform methods | Jump diffusion processes | Stochastic volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Experiment | Analysis | Mathematical analysis |
| Description of contents: | Description [doi.org] |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1655785 [DOI] 10.1080/14697688.2019.1655785 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194867