Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
Shing Fung Chung; Hoi Ying Wong
| Year of publication: |
2014
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|---|---|
| Authors: | Chung, Shing Fung ; Wong, Hoi Ying |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 44.2014, p. 130-140
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| Subject: | Asian options | Fourier transform | Mean reversion | Jump diffusion | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Mean Reversion | Volatilität | Volatility |
| 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/10010410368