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  • Search: person:"Zhou, Jieyun"
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Year of publication
Subject
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Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Closed-form approximation 1 Derivat 1 Derivative 1 Hedging 1 Multi-asset spread options 1 Second-order boundary approximation 1 Theorie 1 Theory 1 closed-form approximation 1 multi-asset spread option 1
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Online availability
All
Free 3 Undetermined 1
Type of publication
All
Book / Working Paper 6 Article 3
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 6 English 3
Author
All
Li, Minqiang 9 Zhou, Jieyun 9 Deng, Shijie 6 Deng, Shi-Jie 2 Deng, Shi-jie 1
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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The journal of derivatives : the official publication of the International Association of Financial Engineers 2 MPRA Paper 1 Quantitative Finance 1
Source
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ECONIS (ZBW) 5 RePEc 2 BASE 1 OLC EcoSci 1
Showing 1 - 9 of 9
Cover Image
Closed-Form Approximations for Spread Option Prices and Greeks
Li, Minqiang - 2019
We develop a new closed-form approximation method for pricing spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional...
Persistent link: https://www.econbiz.de/10012706181
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Multi-asset Spread Option Pricing and Hedging
Li, Minqiang; Deng, Shijie; Zhou, Jieyun - Volkswirtschaftliche Fakultät, … - 2008
We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are...
Persistent link: https://www.econbiz.de/10005619404
Saved in:
Cover Image
Multi-asset Spread Option Pricing and Hedging
Li, Minqiang; Deng, Shijie; Zhou, Jieyun - 2008
We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are...
Persistent link: https://www.econbiz.de/10015258212
Saved in:
Cover Image
Multi-Asset Spread Option Pricing and Hedging
Li, Minqiang - 2007
We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are...
Persistent link: https://www.econbiz.de/10012728769
Saved in:
Cover Image
Multi-asset spread option pricing and hedging
Li, Minqiang; Zhou, Jieyun; Deng, Shi-Jie - In: Quantitative Finance 10 (2010) 3, pp. 305-324
We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. The latter method generalizes the results in Li et al. [J. Deriv., 2008, 15, 58-80] to spread options on an...
Persistent link: https://www.econbiz.de/10008503055
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Cover Image
Multi-Asset Spread Option Pricing and Hedging
Li, Minqiang - 2010
We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. The latter method generalizes the results in Li et al. [J. Deriv., 2008, 15, 58–80] to spread options on an...
Persistent link: https://www.econbiz.de/10013146976
Saved in:
Cover Image
Closed-Form Approximations for Spread Option Prices and Greeks
Li, Minqiang - 2009
We develop a new closed-form approximation method for pricing spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional...
Persistent link: https://www.econbiz.de/10012766641
Saved in:
Cover Image
Closed-form approximations for spread option prices and greeks
Li, Minqiang; Deng, Shi-jie; Zhou, Jieyun - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 58-80
Persistent link: https://www.econbiz.de/10003673361
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Cover Image
CLOSED-FORM APPROXIMATIONS FOR SPREAD OPTION PRICES AND GREEKS
Li, Minqiang; Deng, Shi-Jie; Zhou, Jieyun - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 58-80
Persistent link: https://www.econbiz.de/10007980443
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