Tempered stable process, first passage time, and path-dependent option pricing
Year of publication: |
2019
|
---|---|
Authors: | Kim, Young Shin |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 187-215
|
Subject: | Lévy process | Tempered stable process | First passage time | Barrier option pricing | Perpetual American option pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Derivat | Derivative | Volatilität | Volatility |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
Language: | English |
Other identifiers: | 10.1007/s10287-018-0326-9 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Kim, Young Shin, (2021)
-
Mehrdoust, Farshid, (2023)
-
Pricing VIX options based on mean-reverting models driven by information
Yin, Ya-Hua, (2024)
- More ...
-
Time series analysis for financial market meltdowns
Kim, Young Shin, (2010)
-
Tempered infinitely divisible distributions and processes
Bianchi, Michele Leonardo, (2011)
-
Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin, (2011)
- More ...