A General Continuous Time Markov Chain Approximation for Multi-Asset Option Pricing With Systems of Correlated Diffusions
Year of publication: |
2020
|
---|---|
Authors: | Kirkby, Justin |
Other Persons: | Nguyen, Dang (contributor) ; Nguyen, Duy (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (29 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 16, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3627361 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Assonken, Patrick, (2015)
-
Bianchi, Michele Leonardo, (2015)
-
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E., (2015)
- More ...
-
Moments of Student's t-distribution : A Unified Approach
Kirkby, Justin, (2019)
-
A Closed-form Model-free Implied Volatility Formula through Delta Families
Cui, Zhenyu, (2020)
-
A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps
Kirkby, Justin, (2018)
- More ...