Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Year of publication: |
June 2016
|
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Authors: | Yamazaki, Akira |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 4, p. 1-34
|
Subject: | Ornstein-Uhlenbeck process | Lévy process | intertemporal joint distribution | multivariate characteristic function | asymptotic analysis | discretely monitored path-dependent option | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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