A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Alexander V. Nagaev; Sergei A. Nagaev; Robert M. Kunst
| Year of publication: |
2005
|
|---|---|
| Authors: | Nagaev, Alexander V. ; Nagaev, Sergei A. ; Kunst, Robert M. |
| Publisher: |
Wien : Inst. für Höhere Studien |
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Description of contents: | Table of Contents [gbv.de] |
| Extent: | 25 S |
|---|---|
| Series: | Reihe Ökonomie. - Wien : IHS, ISSN 1605-7996, ZDB-ID 2151044-1. - Vol. 164 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.ihs.ac.at/publications/eco/es-164.pdf |
| Classification: | G12 - Asset Pricing ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002569872