Valuation of reverse convertibles in the variance gamma economy
Year of publication: |
2013
|
---|---|
Authors: | Deng, Geng ; Dulaney, Tim ; McCann, Craig |
Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 19.2013, 4, p. 244-258
|
Subject: | stochastic volatility | structural products | barrier options | reverse convertibles | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Konvertibilität | Convertibility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Wandelanleihe | Convertible bond | Black-Scholes-Modell | Black-Scholes model |
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