Approximate pricing of American exchange options with jumps
Guanghua Lian, Robert J. Elliott, Petko Kalev, Zhaojun Yang
| Year of publication: |
2022
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|---|---|
| Authors: | Lian, Guanghua ; Elliott, Robert J. ; Kalev, Petko S. ; Yang, Zhaojun |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 6, p. 983-1001
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| Subject: | American options | exchange options | jump diffusion | option pricing | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22316 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287907