Integral representations of probability density of stochastic volatility models and timer options
Zhenyu Cui, J. Lars Kirkby, Guanghua Lian, Duy Nguyen
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Lian, Guanghua ; Nguyen, Duy |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 8, p. 1-32
|
| Subject: | Stochastic volatility | exact probability densities | implied volatility | timer option | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500558 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011787421