Foreign currency power option pricing based on Esscher transform
Wenhan Li, Cuixiang Li, Lixia Liu, Mengna Wang
| Year of publication: |
2021
|
|---|---|
| Authors: | Li, Wenhan ; Li, Cuixiang ; Liu, Lixia ; Wang, Mengna |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 58.2021, 2, p. 535-548
|
| Subject: | Foreign exchange power option | Jump-diffusion process | Characteristic function | Esscher transform | Numerical analysis | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10046-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615075