Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Álvaro Guinea Juliá and Alet Roux
| Year of publication: |
2024
|
|---|---|
| Authors: | Guinea Juliá, Álvaro ; Roux, Alet |
| Subject: | Barndorff-Nielsen and Shephard models | Closed-form approximation | Option pricing | Stochastic volatility | Taylor expansion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2394220 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196870