A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
J. Lars Kirkby, Duy Nguyen, Zhenyu Cui
| Year of publication: |
July 2017
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|---|---|
| Authors: | Kirkby, J. Lars ; Nguyen, Duy ; Cui, Zhenyu |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 80.2017, p. 75-100
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| Subject: | American options | Barrier options | Stochastic volatility | Regime switching | Jump diffusion | Frame projection | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011817629