Hedging and pricing early-exercise options with complex fourier series expansion
Tat Lung (Ron) Chan
| Year of publication: |
2020
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|---|---|
| Authors: | Chan, Tat Lung |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-25
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| Subject: | American option | Barrier option | Bermuda option | complex Fourier series | early-exercise options | Lévy processes | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Hedging | 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.najef.2019.04.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666044