Closed-form approximation of perpetual timer option prices
Minqiang Li and Fabio Mercurio
| Year of publication: |
2014
|
|---|---|
| Authors: | Li, Minqiang ; Mercurio, Fabio |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 4, p. 1-34
|
| Subject: | Timer options | pertubation | closed-form approximation | stochastic volatility | models | asymptotic expansion | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading |
| 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/10010391503