Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Peter Carr, Ajay Khanna and Dilip B. Madan
| Year of publication: |
September 2016
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|---|---|
| Authors: | Carr, Peter ; Khanna, Ajay ; Madan, Dilip B. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 89-111
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| Subject: | completely monotone function | Gauss Laguerre quadrature | gap risk pricing | beta exposure pricing | CGMY model | negative binomial process | Optionspreistheorie | Option pricing theory | CAPM | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.309 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639593