Risk neutral jump arrival rates implied in option prices and their models
Dilip B. Madan and King Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Madan, Dilip B. ; Wang, King |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 3, p. 201-235
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| Subject: | crash cliquet | Fourier inversion | Limiting distributions | quasi-infinite divisibility | self-decomposable laws | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.2007145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013171070