Compound option pricing under a double exponential Jump-diffusion model
Yu-hong Liu, I-Ming Jiang, Wei-tze Hsu
| Year of publication: |
2018
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|---|---|
| Authors: | Liu, Yu-hong ; Jiang, I-Ming ; Hsu, Wei-tze |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 43.2018, p. 30-53
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| Subject: | Compound option | Double exponential distribution | Jump-diffusion process | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | 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.2017.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012036254