Closed-form approximations for basket option pricing under normal tempered stable Lévy model
Dongdong Hu, Hasanjan Sayit, Jing Yao, Qifeng Zhong
| Year of publication: |
2024
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| Authors: | Hu, Dongdong ; Sayit, Hasanjan ; Yao, Jing ; Zhong, Qifeng |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 74.2024, Art.-No. 102233, p. 1-22
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| Subject: | Basket option | Spread option | Option pricing | Closed-form approximation | Normal tempered stable Lévy model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102233 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015134981