Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Kailin Ding, Zhenyu Cui, Yanchu Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Ding, Kailin ; Cui, Zhenyu ; Liu, Yanchu |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 12, p. 1750-1769
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| Subject: | characteristic functions | derivatives pricing | Itô-Taylor expansion | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22455 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014433005