Compound option pricing under stochastic volatility
Arturo Leccadito, Emilio Russo
| Year of publication: |
2016
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|---|---|
| Authors: | Leccadito, Arturo ; Russo, Emilio |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 2/4, p. 97-110
|
| Subject: | compound options | stochastic volatility | contingent claims | binomial trees | discrete-time models | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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/10011742310