Lower bound approximation to basket option values for local volatility jump-diffusion models
Guoping Xu; Harry Zheng
| Year of publication: |
2014
|
|---|---|
| Authors: | Xu, Guoping ; Zheng, Harry |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 1, p. 1-15
|
| Subject: | Basket options valuation | local volatility jump-diffusion model | lower bound approximation | second order asymptotic expansion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363942