American and European options in multi-factor jump-diffusion models, near expiry
| Year of publication: |
2008
|
|---|---|
| Authors: | Levendorskiǐ, Sergei |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 4, p. 541-560
|
| Publisher: |
Springer |
| Subject: | Critical price near expiry | American puts | Calls | Exchange options | Bond options | European options near expiry | Jump-diffusions | ATSM | QTSM |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390709