Estimating early exercise premiums on gold and copper options using a multifactor model and density matched lattices
Jimmy E. Hilliard and Jitka Hilliard
| Year of publication: |
2015
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|---|---|
| Authors: | Hilliard, Jimmy E. ; Hilliard, Jitka |
| Published in: |
The financial review : the official publication of the Eastern Finance Association. - Malden, Mass. [u.a.] : Blackwell, ISSN 0732-8516, ZDB-ID 864322-2. - Vol. 50.2015, 1, p. 27-56
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| Subject: | gold | copper | options | density matching | early exercise | Kalman filter | Gold | Optionspreistheorie | Option pricing theory | Kupfer | Copper | Optionsgeschäft | Option trading | Kupfermarkt | Copper market | Goldbergbau | Gold mining | Matching | Zustandsraummodell | State space model | Derivat | Derivative | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| 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/10010503982