Currency option pricing : mean reversion and multi-scale stochastic volatility
Year of publication: |
2010
|
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Authors: | Wong, Hoi Ying ; Zhao, Jing |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 30.2010, 10, p. 938-956
|
Subject: | Fourier inversion | Optionspreistheorie | Option pricing theory | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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