A recursive pricing method for autocallables under multivariate subordination
Year of publication: |
2019
|
---|---|
Authors: | Tong, Kevin Z. |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 3.2019, 3, p. 440-455
|
Subject: | autocallables | multivariate assets | eigenfunction expansion | multivariate subordination | stochastic time change | OU process | jump diffusion | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Optionspreistheorie | Option pricing theory |
-
The pricing of dual-expiry exotics with mean reversion and jumps
Tong, Kevin Z., (2019)
-
Tong, Zhigang, (2017)
-
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang, (2017)
- More ...
-
Option pricing in a subdiffusive constant elasticity of variance (CEV) model
Tong, Kevin Z., (2019)
-
The pricing of dual-expiry exotics with mean reversion and jumps
Tong, Kevin Z., (2019)
-
The valuation of barrier options under a threshold rough Heston model
Tong, Kevin Z., (2023)
- More ...