Switching to Non-Affine Stochastic Volatility : A Closed-Form Expansion for the Inverse Gamma Model
Year of publication: |
2016
|
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Authors: | Langrené, Nicolas |
Other Persons: | Lee, Geoffrey (contributor) ; Zhu, Zili (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (30 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Journal of Theoretical and Applied Finance, Vol. 19, No. 5, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 8, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2626552 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques ; C51 - Model Construction and Estimation ; C32 - Time-Series Models ; C16 - Specific Distributions ; F31 - Foreign Exchange |
Source: | ECONIS - Online Catalogue of the ZBW |
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