Application of homotopy analysis method to option pricing under Lévy processes
Takayuki Sakuma; Yuji Yamada
| Year of publication: |
2014
|
|---|---|
| Authors: | Sakuma, Takayuki ; Yamada, Yuji |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 1, p. 1-14
|
| Subject: | Barrier options | Homotopy analysis method | Lévy processes | Variance gamma model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| 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/10010358467