A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Ai-ru (Meg) Cheng; A. Ronald Gallant; Chuanshu Ji; Beom S. Lee
| Year of publication: |
2008
|
|---|---|
| Authors: | Cheng, Ai-ru Meg ; Gallant, A. Ronald ; Ji, Chuanshu ; Lee, Beom S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 146.2008, 1, p. 44-58
|
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Wechselkurs | Exchange rate | Schweizer Franken | Swiss franc | Yen | Euro | Welt | World | 1999-2002 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003778206