A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Raj Jagannathan
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Jagannathan, Raj |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 1, p. 161-177
|
| Subject: | Option Pricing | Interest-Rate Parity Condition | Black-Scholes Model | Linear Regression Approach | Spot Option | Ito Calculus | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Zins | Interest rate | Zinsstruktur | Yield curve | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2018.81013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011846254