Decomposition formula for jump diffusion models
R. Merino, Jan Pospíšil, T. Sobotka and J. Vives
| Year of publication: |
December 2018
|
|---|---|
| Authors: | Merino, Raúl ; Pospíšil, Jan ; Sobotka, Tomáš ; Vives, Josep |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 8, p. 1-36
|
| Subject: | Option pricing | stochastic volatility models | jump diffusion models | implied volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/X0219024918500528 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011970979