Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Weinan Zhang, Pingping Zeng, Yue Kuen Kwok
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Weinan ; Zeng, Pingping ; Kwok, Yue-Kuen |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 51.2023, 6, p. 687-694
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| Subject: | Asian options | Recursion-quadrature algorithms | Stochastic volatility models with Lévy jumps | Time-changed Lévy models | Variance derivatives | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2023.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465892