Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
Alexander van Haastrecht; Antoon Pelsser
| Year of publication: |
2011
|
|---|---|
| Authors: | van Haastrecht, Alexander ; Pelsser, Antoon André Jean |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 31.2011, 2, p. 103-125
|
| Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Theorie | Theory |
| 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/10008908408